It mostly a matter of you calculating the weight required for 1 mM solution and a 10 M solution. Urea is solid and Tributylphosphine is usually in liquid. Both should be found in your lab. It is basic chemistry.
As far the SDS solution goes, it is probably w/v but it might be specifiy. So when dealing with percentages in a recipe in term of w/v, it is about an amount of grams per 100 mL of solution. Therefore, it would be 1 g of SDS per 100 mL of solution.
I am thinking of the solvent (?) to dissolve these stuffs. For example for SDS solution, should i use sterile water or buffers?
You may want to check this reference given by sigma.
Herbert, B., et al., Reduction and alkylation of proteins in preparation of two dimensional map analysis: why, when, and how?. Electrophoresis 22, 2046-57, (2001)
Whenever you're in doubt, check the spec sheet that comes with the chemicals for information on solubility. If the chemicals didn't come with a spec sheet and you aren't sure, contact the manufacturer for solubility information.
if you are doing protein chemistry you should really use nanopure water.