Learn Finnish: Se on auto.

Finnish doesn't have articles like "a", "an", or "the". The word auto alone means "a car" or "the car" depending on the context. In this sentence, "It is a car" is the most natural English translation.

When should I use se instead of tämä or tuo?

Se usually translates to "it". You use se when referring to an object that isn't physically close to you (tämä = this) or visibly over there (tuo = that), or when you are simply referring back to a thing you already mentioned.

Why is the word auto in its basic dictionary form here?

In a simple "A is B" sentence like this, the thing you are identifying (the car) is in the basic dictionary form, which is called the nominative case. It doesn't need any special endings.

Can on be used with other pronouns besides se?

Yes. On is the "is" form of the verb olla (to be). You use it anytime you are talking about one third-party person or thing, so it works perfectly with hän (he/she), tämä (this), and tuo (that) as well.