Vapour barrier alwas goes on the warm side (interior side) of the
insulation. Do this on all exterior walls. Here in Alberta, Canada we
have to at least insulate and vapour barrier all exterior basement
walls to satisfy our building permits. Even if we are not finishing the
walls. I'd suggest the same for you.. frame all the exterior walls and
insulate. It will pay in both comfort and energy. We tend to get some
wicked winters here also I prefer frameing all the walls 2x4 which
allows an R-12 (4") of insulation.

As far as that Pipe thats out from the wall. you don't have to frame
that far out.. you can go down to your building supply and purchase a
cover.. like a telepost MDF cover.. rounded or square.. or you can make
your own.. either an MDF box (most durable), or frame around it and
drywall it.

Cheers