Regarding the file extensions, more than likely you can get your stats program to work using.html by simply modifying your .htaccess file inyour root directory. (I'm assuming you are on a Unix box)
You can add "AddType text/x-server-parsed-html .html" (without the quotes) to your .htaccess file and that will instruct the server to parse .html files in the same way it would .shtml (You can use this for a variety of extensions, not just .html)
>shall I point all of them using one single key phrase or shall I use all major keywords for my web site.
I'm not quite sure I understand the question. If you mean should you build 500 pages that all target the same keyword phrase, then I would say absolutely not. That amount of similar/duplicate content would cause some serious spam penalties.
>In addition, shall I point them all to index page or seperate pages?
IMHO, you should always avoid delivering traffic from multiple doorway pages to the same target page. If for example, your target site is all about fruit and you build a doorway page on another domain that targets the word "mango" you want to make sure the visitor lands on a page about mangos. Dumping them on the home page will cause them to have to search or drill down to find your mango info. Most people won't take the time. They've already searched once.
Sending everyone to the same page also increases your chances of having your site reviewed by someone from the search engine.