Has anyone used this kind of shortwave antenna before?
Yes, with some degree of satisfaction, but, as JimB notes, you could just buy yourself some 26 ga. wire of what ever length and string it around your room (or house).
Your call on the ready made one. All things considered, that might be the best (if not the cheapest) way to go until you get a better handle on how these things work and how you can "tune" an antenna (for signal strength).
What should i pay attention to?
Antenna length, followed by orientation.
Antenna length determines resonant frequency. That means the antenna's "output" is strongest when the transmitted signal's
wavelength is similar to that of the antenna. Google "1/4 wavelength antenna" for further explanation.
Antenna orientation has a similar effect on output. Google "radio direction finder" for a basic understanding of the concept.
There are always "extra" signals from
any antenna, in varying levels of strength. While it is true that a poorly designed radio may have difficulty separating these signals, the increase in signal strength is worth it. With any luck, that alone might encourage you to get a better radio and become more involved with the shortwave bands (where all the "Hams" hang out).
73s,
Cowboybob, K4NFF