Different states have different requirements for testing--both as to whether any are required, and if so, which ones, and the timeframes. In general, the western states have few to no requirements, whereas those in the central and eastern areas are more likely to require some form of testing.
Your best bet is to contact the show secretary ahead of time and ask what is required: what tests, health certificates, etc.
Most shows prefer to have entries well before the show date. Some shows have a maximum number of birds that they will accept. I have heard of entry deadlines a month and more in advance. Some will allow late entry; others will not.
At a sanctioned show all birds (except those who display signs of disease or parisites) will be handled by a judge at least once.
Some shows have separate junior and open shows; others combine all exibition into open; others do something in between. Showmanship is usually, but not always available. It is usually just youth, but I have seen adult showmanship also.
Depending on the show and its size, it may last a day--cooping in, judging and release all on the same day--or it may last an entire weekend. In the case of fairs, the exhibition may last a week or more. Most shows that I have been to have cooping in on Friday night through early Saturday morning, judging on Saturday (and they always say Sunday, too, but I've never seen it take that long). Then birds may be released Saturday evening, or there may be more scheduled events on Sunday and not released until noon or later.
There is usually a sales area, and the animals available will vary both in breed and quality from show to show--they are really the breeders' excess birds, and sometimes other animals. Unless you make arrangements ahead of time don;t anticipate that any particular breed or quality will be available. However, most times you can find an exhibitor who has birds they exhibitied that they may be willing to sell.