I'll try to answer your questions, as best I'm able.
1) Do Muslims believe Mahdi is supernatural?
Personally, I think the answer would be "No." Both Sunnis and Shiites believe he is a flesh-and-blood human being, although Shiites believe he is currently over 1100 years old (so maybe a "supernaturally gifted" man?). Sunnis think that the Mahdi will be born and grow up near the End Times. Both believe that he is/will be the "purist" Muslim after Muhammad.
2) And do they believe they in the flesh must do specific works to bring down their Mahdi?
Now here I disagree with Reza Kahlili and other commentators. Thay say that Ahmadinejad and others want to "create chaos" to speed up the Twelfth Imam's return. I say that Ahmadinejad et al. perceive the world of today as being in chaos, deduce that the Twelfth Imam will soon return, and want to "pave the way" for him by building and infrastructure for his use, including ships, planes, missles and nukes.
3) I ask because of all the turmoil in the ‘middle east’, and so many struggles/wars bloodshed within the Muslim religion.
My recommendation is to study Sayyid Qutb's book "Milestones" (which is non-Millennial). The "Vanguard" of Islamist muslims perceive any moderate, non-jihadist Muslim to be worse than an infidel.
Add rivalries and stir. Try this thread:
http://www.freerepublic.com/focus/news/1710411/posts
4) But how will Muslims know their Mahdi has appeared?
In the Hadith, Muhammad prophesied several "Signs of Qiyama." Qiyama means Judgment Day, and the Signs indicate that the day is approaching. The appearance and activities of the Mahdi are among the Signs, but fairly well into any timeline a Muslim would devise.
Some of the Signs are boilerplate stuff: earthquakes, floods, corrupt politicians, hypocritical clerics, etc. But some of the Signs are disturbingly specific: men of low birth will construct tall skyscrapers, men will touch the clouds, men will revive the dead, men will throw a projectile at the moon and break off some of its rocks, a man in the East will be able to converse with another in the West -- things that Western Civilization has done.
In the Hadith, the actual description of the Mahdi does not go much further than that he will be a direct descendant of Muhammad (or, rather, Fatima), and then a description of his actions. So there is a lot of wiggle room for claimants.
http://en.wikipedia.org/wiki/Mahdi
Placemark.