I am a little concerned with the amount of resources that I can use in a shared machine. Is there any way to test if the administrator has a limit in the amount of resources that I can use? And if does, to make a more complete question, how can I set up such limit?
For process related limits, you can have a look in /etc/security/limits.conf (read the comments in the file, use google or use man limits.conf for more information). And as jpalecek points out, you may use ulimit -a to see (and possibly modify) all such limits currently in effect.
You can use the command quota to see if a disk quota is in effect.