Is it possible to link to one specific FAQ, not an entire category?
It is not possible to link to a page that just has 1 question, but using anchor tags you could potentially construct links that go to the FAQ category page and jump down to a specific question once the page loads.
I'd also like to know if it is possible to embed a FAQ into a web page or wiki page?
You can do this if you have access to the green interface, simply create a new FAQ lister for the chosen category, and make sure the checkbox is checked that lets blue embed the layout. Once you have done that you can embed it in a webpage by using a tag like "[[layout.example_faq_lister]]"