the preview program is essentially early testing of the OS updates for microsoft. your console will update more frequently if you have it. i don't think it is an app you download. i believe it was by invitation only.
as for the Clubs on XBox or whatever it is called now. it is a section on the top right of the screen on the Community or Social tab. i can't remember the name or if they changed it. there is a picture of this tab about halfway up this thread that i posted a month or so ago.
if you can't find it, it may still only be in the preview build.
there you go. @RedMcBeardly beat me to it