Hi there!
A. What were some of the messages that Jesus taught?
Jesus taught countless lessons and messages during His time on Earth. Some lessons are about God and Heaven and some are about moral necessities. Some of them include: loving your neighbor as yourself, forgiveness, compassion, the list goes on forever.
B. Why did the Romans feel threatened by Jesus?
The Romans felt threatened by Jesus in an Emporer-overthrowing way. They didn't necessarily feel threatened by Him in a spiritual way because the Romans had all their pagan gods and worshiped them restlessly. Jesus was proclaiming that He was the king, the Messiah, and the Romans felt this as an insult to Caesar, so the put Him to death, like all others to threaten the Emporer's throne.
C. What important event marks the beginning of Christianity?
The beginning of Christianity as a religion was basically at the Last Supper; Jesus' last night with the Apostles before his death. He gave the keys of heaven and built his Church upon Peter, and once Jesus died, the Apostles went out and proclaimed the Gospel.
Hope this helps! ;)