Why did they take him to Azah?
Rashi, from Sotah 9b: (This was Hashgachah;) that is where he first stumbled (with the Zonah - verse 1).
What are Nechushtayim?
Radak citing Targum Yonasan: They are copper fetters.
Why did they make him grind?
Sotah 10a: This is a euphemism for Bi'ah. Everyone brought his wife to the jail to become pregnant from him (hoping that the child would be super-strong 1 ).
Rashi: This is harsh work.
Radak: The custom was that prisoners are financed from grinding. "Ad Bechor ha'Shifchah Asher Achar ha'Rechayim" and "Ad Bechor ha'Shevi Asher Achar b'Veis ha'Bor" (Shemos 11:5, 12:29) discuss the same matter; captives normally grind.
Radak: This Drashah is difficult. Shimon's strength already departed! (Also, did word not spread that it was due to Nezirus (refer to 16:22:1:1)?! Perhaps they made the children Nezirim, but they assumed that his body was appropriate for awesome strength, and this could be passed on to children. - PF) Toras Moshe (Haftoras Nasa), Torah ha'Temimah: Orpah become pregnant with Galyus [partially] from Shimshon (l'Michseh Atik Shmuel 1:17:4, citing Tosefta Targum). (We cannot resolve this with both the opinion that Bo'az is Avtzan (who died at least 18 years before Shimon became Shofet) and with Rus Rabah 2:20, which says that Orpah become pregnant with Galyus the night after parting with Na'omi and Rus. - PF)