The external shots of Castle Leoch are shot at Doune Castle, one of the best preserved medieval castles in Scotland. For the WW2 period external shots, they digitally turned the castle into a ruin. Interiors of both the ruined and living castle were recreated on a set.
They had a nurse on the set to make sure that Claire used proper medical technique. You can see some of that technique when she resets Jamie's shoulder.
Sam Heughan was curious about the scene when Frank sees Jamie. He asked author Diana Gabaldon about it and she told him that Jamie was a ghost and about 25 years old when he appeared.
Sassenach does, in fact, mean Englishman. Sasain is Scots Gaelic (Gaidhlig) for England and literally means Saxon. A Scotsman would be called Albannach, with Alba being Gaelic for Scotland.
When portraying the WW2 period, show runner Ronald D. Moore said that the team chose to desaturate the colors so that the film was almost black and white. They would choose one color, usually the color that Claire is wearing, to punch up. In this episode, the color is frequently the blue of Claire's coat.