what will i gain in changing my oil and air filters to those u mencioned?
Increased air flow (Which I believe and think I see in performance), and decreased friction (so the "data" leads me to believe).
does the oil filter needs to b replaced when i go for the 10000km oil change also ?
The oil filter should be replaced at each oil change yes, don't ask me to convert 3000 mi towards metrics. I'm imperial and gosh-dang it the other 97% of the world is going to have to come around sooner or later.
whats is the best oil to use on sportage ? my mechanic advised me to use castrol gtx3,is it good ?
I think Castrol is the best there is, but there are several well respected brands.
can i put a 235*75*15 on my sporty without no rubbing , or i have to lift it ?
I did it with very minimal rubbing, had to flex it hard to rub. No rubs at all on the street. I just finished a 2 1/2 inch suspension lift using Jeep TJ springs in the back and springs from sources unknown to me in the front, stiffer with the same ends and coils and some other math stuff that confused me even though it was in imperial measurements.
and the last one

.. could u gimme some link to a exhaust 2.5 ?
Not I, haven't learned enough yet on the physics and mechanics of exhaust to totally understand what I'm looking for either at this point. We're both noobs man, I can only tell you what I've learned lurking the last 6 months and recently began experimenting with on the Sporty.
It's all fun though,
Rusty