Does any one know anything about gaining research from captured aliens works? Do you get advances immediately after a battle or do you have to research the alien first?

You must reaserch the alien(s).

You get the advances right after the battle but you need to already be conducting research to get any advance.

If you look at one of the txt files that come with xcomutil there's a chart at the bottom that shows the effect that different alien ranks have on the several research topics. Engineers and Navigators can advance up to 50% the research on weapons and equipment, Leaders and Commanders are good to get to the final mission and psionics, Medics useful for research on aliens, psi-amps and so on.
One thing to remember though: the help goes to the subject on the list of progress that benefits it the most. I.e. don't expect for the 20% help to go to Heavy Plasma research if there's already another item there that benefits from it 50%. To concentrate research on one subject restrain from adding more items to the list.
And finally, the numbers that appear on the post battle report are the number of work day units still needed, not hours. Each work day is considered as one scientist working for a day. Since the Avengers take 9000 workdays to be researched it's better to have some 200 scientists or it will take long even with research help.

I hope all of this helps.