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Are you using the hyperref package? Do not forget the breaklinks option:

I would convert the screenshot (jpeg) to encapsulated postscript (eps).

To get headers use the command To change the default header from uppercase use the command The fancyhdr package may also be worth looking at.

I am not sure exactly what you mean, but if you want the bibliography heading numbered like an appendix, then change line 3073 of scrreprt.cls from \chapter*{\bibname}% to be \chapter{\bibname}% Then just put your bibliography in the appendix and use BiBTeX as normal \appendix
\chapter{An appendix ...

Here is a rough method (remember to change it back if you want the list of figures in the preface):

Edit line 3027 in scrreprt.cls (\tex\latex\koma-script) from \newcommand*\lof@heading{\float@listhead{\listfigurename}} to be \newcommand*\lof@heading{\float@listhead{\chapter{\listfigurename ...

chapterbib is a nice package for a thesis.

In my previous example, I put the bibliography definition at the end of the main tex file---the result is a large bibliography at the end of the compiled document.

Using the chaperbib package, I would put \bibliographystyle{plain}
\bibliography{../thesis ...

One approach to a project is to have one tex file set as the main project file. This tex file would have the \documentclass, \usepackage, and \newcommand commands. It would also have the \begin{document} and \end{document} commands: \documentclass[12pt]{muthesis}
\usepackage[ps2pdf]{hyperref}
\begin ...

There are many things to be concerned about in your style file.

If you are going to use a titlepage, then the documentclass has to be defined \documentclass[ukrainian,titlepage]{article}
\begin{document}
\begin{titlepage}
\end{titlepage}
Document text
\end{document} and the \maketitle command is ...

Did you tryor

It works correctly for me with MiKTeX 2.6 on XP64 *File List*
report.cls 2005/09/16 v1.4f Standard LaTeX document class
size12.clo 2005/09/16 v1.4f Standard LaTeX file (size option)
palatino.sty 2005/04/12 PSNFSS-v9.2a (SPQR)
geometry.sty 2002/07/08 v3.2 Page Geometry
keyval.sty 1999/03/16 v1.13 ...