Why do they have an alien?
Roger's space ship landed in Roswell, New Mexico, U.S. in mid-1947, and he has lived on Earth ever since. At one point he was being held captive by the CIA in a government facility at Area 51, and he tried to escape. Stan, a CIA agent, found him, then knocked himself unconscious, and Roger ended up saving Stan's life when government officials threw grenades into the room. Stan was so grateful when he woke up that he agreed to give Roger refuge, by letting him move in with his family.
What's that coloured thing on their refrigerator?
A fridge magnet which indicates the current Homeland Security Advisory System level, which ranges from green (lowest) through blue, orange, yellow to red (highest); an indication of Stan's obsession with terrorism and national security.
He has rarely mentioned his home planet, except to say that he worked as a greeter at a Wal-Mart-style department store, and has also shown an affinity for cold, indicating that his planet may be colder than Earth (or at least has a cold region) - in "Of Ice and Men" he said he learned to ice-skate on his planet, and that snow reminds him of his homeworld.