Short answers, pulled from the story.
Scholar Andy Orchard suggests that the Old Norse word Bifröst means shimmering path. He notes that the first element of the compound word suggests a fleeting nature like a moment. This connects to the Old Norse verb meaning to shimmer or to shake.
The gods built the bridge from heaven and earth as described by High in the Prose Edda written by Snorri Sturluson in the 13th century. The bridge consists of three colors and has great strength. It ends in heaven at Himinbjörg the residence of the god Heimdall.
The sky will split open and from the split will ride forth the sons of Muspell when these forces ride over Bifröst it will break. Their horses will have to make do with swimming over great rivers. There is nothing in this world that will be secure when Muspell's sons attack.
High explains that fire burns over Bifröst to keep frost jotnar and mountain jotnar out. Without this red burning fire anyone who wanted could cross into heaven. The location remains secure only because divine protection surrounds every beautiful place within it.
Several scholars have proposed that Bifröst may represent the Milky Way. It fits better with notions of it being fiery and having three colors than a standard rainbow form. The Aurora Borealis fits better with the notion of fire and three colors.