Hi mshukla,
1) thisXDocument, thisApplication is the default objects that .NET will create while opening the project of Visual Studio with InfoPath, and you can see that in the class by opening a new project. Developer can create their own object their.
2) Microsoft.Office.Interop.InfoPath is a Global Assemble Cache(GAC) you can see it in Windows\Assembly in OS installed folder.
For further information you can see this link.
http://msdn2.microsoft.com/en-us/library/aa943009(VS.80).aspx
I hope this will help you better.
B.Shiva Prasad
InfoPath Dev,
http://www.ggktech.com
India