There's a topic very similar to this one, you might want to check that out.
http://www.bricksinmotion.com/forums/to
en-thread/
It's according to what you want to do, but I recommend standard cheap posterboard (you can get it everywhere). It's just large colored paper basically.
About curving it, I am not sure if I follow you. If you want to have a smooth transition from the floor to the back, then yes, you'll probably need to bend it at the corner (where the floor connects to the wall), but other than that, no bending is required.
As for lighting, just try to make it even. Try the three-point lighting system (You can find an example of it on Wikipedia). You may even want to try four lamps. Don't get the screen too bright though, because if it is, it will become white in-camera and will destroy the chroma key. Try it get it even all the way around.
I mentioned quite a few tips in lighting in this topic: http://www.bricksinmotion.com/forums/to
ing-setup/
I hope it helps. I may be able to go into greater detail later, but for now, I hope it will do.
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