Several pages back (posts 269 and 279) I described how I bleed the brakes. The other methods work, but I usually am working alone, so don't have someone around to pump the pedal, and I just haven't had much luck with the vacuum bleeders I have tried. A one gallon sprayer cost me $9 at Lowes, the bleeder cap I provided a link to is also not very expensive. Makes this a very easy and fast job.
YES, you must close the valve while the system is pressurized.
If a valve is open when the helper lets off the pedal air will be sucked back into the system when the pedal goes back up.