In " A Day of Heroes" what does the M mean, that's located near the firepower of the M249 support weapon?
Check out the melee rules (I think) for info on the "M" superscript. Basically adds one to the FP of this weapon when used in melee.
Can a RPG or Bazooka fire from inside a building?
Can a leader take a support weapon from a shaken unit during the Rally Phase in order to use it himself?
Yes - SWs can be taken, picked up, or dropped. I don't have the rules in front of me, but I think it is the rally phase where this happen.