I'll answer your questions in reverse order.

a:focus is the Firefox and some other browsers equivalent of a:active in IE so you need to use both to cover your bases.

I sounds that you are under the impression that this css style is applied automatically to the link for the page you are on. This is not the case.

They come into their own when users use the keyboard to navigate rather than the mouse. As you tab onto or cursor onto a link, these style are applied as that link is now active or has focus.