It doesn't matter how you sell them. If you make money you need to act in accordance with your country's tax and business laws.
What about selling games via the Android Market, Steam, etc.? Will you simply have to adhere to the rules and such set up by those applications/websites?
Yes, provided that name is not already being used as a trademark by another company/person.
If I wanted to make a splash screen show up when running the game, could I use my company name and logo/image and under that, put a copyright disclaimer like "© 2012 Mr. G. HMP"?