Mario,
First of all, welcome aboard!
With that said, I'll try to answer your questions as best as I can.
1. I think that the headlights will fit, but I'm not positive. However, the '08-'09 Sport Trac Adrenalin has black headlights. You might try to find some of those. They would be a guaranteed fit.
2. You're not going to find any bolt-on aftermarket dual exhausts for the Gen 2 ST. If you want duals, you're better off finding a really good custom exhaust shop. I'm not sure if even that can be done on the Gen 2 ST, because the underside is so tight. I don't think any members here have had it done.
3. The grill should be a straight swap. Linked below are some pictures from Member Dingo's library of the "Ironman" Explorer grille. He was planning on putting that on his ST, and it looks very similar to the STA grille.
And here's a tip: Post any Sport Trac-related questions over on the Sport Trac board, rather than here on the Explorer board. I guarantee that you'll get tons of answers to these questions on the ST board... Some that you maybe even don't want to hear!
