where can you buy these codes?
From people/exchangers, if you can find a good price.
just to make sure you get one of these codes enter them into the btc-e interface
and get them exchanged directly into your desired currency?
Well, there different kind of codes, usually for loading "Bitcoin" into the BTC-e.com Balance, but also for loading EUR or USD in your Balance, then, yes you can buy/sell on the website.
I want to buy them
Good luck and read all stickies about using "Escrow" etc.