To answer your original question. The frequency is just so that you can run more than one car in the same area. Each car needs to be on a unique freq so the singles from the radio [controller] don't interfere with each other. The freq is controlled by a set of crystals, one in the cars receiver and one in the radio. They probably won't be changeable in a car of this level so if anyone else you know wanted to buy one and drive with you, they'd need a different color/different freq. You can buy the crystal sets and change them in hobby grade cars like most of the others you see on this site.

As far as your car choice goes, I say go for it. It's cheap and you can have some fun, but be prepared to get hooked and start saving now for a better, faster car in the future. Alternatively checkout the RC18T clones on eBay for around $50. A big step up from the Dune Devil, but they still need a bit of work to make them solid. But at least you have that option to upgrade slowly and build on your initial purchase which you can't do with the DD. Good luck, have fun.

Couple of RC18T clones:
http://cgi.ebay.com/1-18-4WD-Off-Roa...3285.c57.l1288
http://cgi.ebay.com/1-18-Radio-Contr...3285.c57.l1288
http://cgi.ebay.com/Remote-Control-E...3285.c57.l1288