You should go back and rewatch the beginning of the Fellowship of the Ring. The exposition there shows the ring in Sauron's hand, then taken by Isildur when he cuts off Sauron's finger. But Isildur is then ambushed by orcs while riding north, and tries to swim away in the Great River Anduin when the ring slips off his finger, and is lost in the river.
Later on, two friends, Deagol and Smeagol, find the ring while fishing. But the ring's power compels Smeagol to murder his friend and keep the ring. The ring corrupts him, so he is driven from his home and finds shelter in the caves beneath the Misty Mountains, where he slowly turns into the creature Gollum we know and love.
As for your other two questions - yes, Gollum knows of its power, and uses it to kill (and eat) orcs on occasion. However, he doesn't use it much by the time Bilbo arrives, since he feels it stretching him, extending his life at the expense of his essence.
As to why Bilbo says nothing of the ring - again, you'll have to remember that this is an artifact imbued with much power and evil, which usually seeks people to carry it, corrupting them in the process of bringing it to where it needs to go (in this case, back to Sauron). If Bilbo keeps it hidden, there's a better chance it would be taken away from the caves, so it compels him to keep quiet.