Well I don't really know Kicq, you should maybe try the real Licq.
Also,the warning you got is just a warning... if the progs works well just ignore it I suppose. And If you start icq from a shell, it's normal that you can't close the shell without closing the icq in the same time. Try "run command" in kde (right mouse button/run) or create a new shortcut to application
I'm not sure to understand what's you are talking about transferring files from FAT32 to EXT2 but yes it's possible (really easy) to do but NO you will not be able to run your old ICQ or to keep your old user list (writing all your number in a .txt is the best way to proceed)