Hi there,
To add a link on the "Login" word of the sentence, just edit the translation of the sentence in the language file of Hikashop (System>Configuration>Language) and replace this line:
LOGIN_OR_REGISTER_ACCOUNT="Login or create a new account"
by this one
LOGIN_OR_REGISTER_ACCOUNT="<a href='yoururl'>Login or create a new account</a>"
About the default selection, just take a look at the custom fields (the form is only made of custom fields) in Display>Custom Fields.
For example edit the field address_state and you'll be able to choose the default selection