[Zholl]

In response to the first question, it's generally legal to listen in on any open radio transmission you can pick up. The only issue you'd really have to worry about is when you try to transmit on certain frequencies. Some are completely open to the public (i.e. CB radio), some require a license (i.e. Ham radio), and some are restricted to specific groups (emergency services, ATC, etc). Granted, there are specific exceptions in emergency situations, but you shouldn't have to worry about the legality of anything that can only receive. The box you linked to should be just fine for what you want to do.

As for your other question, I don't personally listen to ATC, but I do dabble in Ham. In that same spirit, if you enjoy this project, you might consider looking into getting your Ham license and building your own transceiver as well. Radio's a great way to get your hands dirty with some analogue electronics, and you can really learn a lot that you might not see in school.