Anyone know anything about this flux wire which means you don't have to use gas? 
Don't bother, you end up with a poor mix of MIG and Arc, with few of the benefits of either. If you use a lot of it, then the extra cost works out about the same as proper wire(which is cheap if you buy full size reels) and gas.
Small cheap welders are best avoided; although they're capable of good work, they are very frustrating to learn on.
Having owned 3 SIP welders since 1989, I must agree with Mark in that they're not brilliant. The wire feed is poor, and inconsistent. I was reasonably pleased with mine until I tried a better machine which showed up why I was struggling occasionally.
The disposable cylinders are a terrible waste of money. They are expensive, unreliable, inconsistent and don't last long. If you can scrounge a CO2 cylinder and regulator, that will work, but if you have to pay for either go straight to a mix of 5% Argon/CO2 as it is
much better. Pure Argon is only used for aluminium, and you won't be doing that with a small MIG. BOC are expensive, Hobbyweld are probably a better deal for limited use.