The clay golem's cursed wounds ability is so poorly written that a DM ought to just rewrite it entirely.
Cursed Wound (Ex):
The damage a clay golem deals doesn’t heal naturally and resists healing spells. A character attempting to cast a conjuration (healing) spell on a creature damaged by a clay golem must succeed on a DC 26 caster level check, or the spell has no effect on the injured character.
Rules-as-written, the second sentence unambiguously applies to all healing. It doesn't say a character attempting to heal the cursed wounds has to pass a CL check; it says that a character attempting to cast a conjuration (healing) spell on a creature damaged by a clay golem has to pass a CL check. Even worse, the ability doesn't have any sort of duration or limit on it; a perfectly valid reading of the ability would have a character injured by a clay golem forever difficult to heal. (A valid reading of the English, that is; it's patently absurd as a rules interpretation.)
Was this intended? Almost certainly not. The AD&D Monster Manual says, on page 47:
Damage inflicted upon living matter by a clay golem is only repairable by means of a healing spell from a cleric of 17th or greater level.
So despite the erroneous phrasing in the 3.5 clay golem, cursed wounds is almost certainly only supposed to apply to the actual damage inflicted by the golem. This answers the first three questions:
- is this curse on all their received damage or just this blow?
Just the damage from the clay golem.
- does it including damage they already have and future damage?
RAW, it does, but that's clearly a mistake.
- does this curse last until the last hit point is healed, even future damage?
It would only last until the damage is healed, though it would again apply to future damage from a clay golem.
There's still plenty of ambiguity in the ability: what happens if the golem uses a weapon? Lays a trap? Would these be cursed wounds? It's also worth noting that cursed wounds is an extraordinary ability, and thus explicitly nonmagical. Similar abilities that remove curse can fix, like a mummy's mummy rot or a lycanthrope's curse of lycanthropy, are supernatural abilities. Even though the ability is called cursed wounds, it wouldn't be unreasonable to rule that, as a nonmagical ability, it isn't affected by remove curse. An ability's name doesn't have any actual bearing on its rules in 3.5.
That being said, cursed wounds is poorly written and ambiguous. Even trying to play it completely rules-as-written, it requires house ruling. A DM will need to decide what constitutes the golem inflicting damage at the very least, and how long the curse lasts (if ruling that cursed wounds negates all healing, which is RAW but which I don't recommend). Personally, I'd just re-write the ability based on what was almost certainly intended—it applies only to the wounds the golem inflicts; it's (Su) not (Ex)—and ignore the actual printed rules, because they're nonsense. This is something that one must do in 3.5, occasionally (e.g. monks being nonproficient with unarmed strikes, or the feat Leap Attack, which is written based on a completely incorrect understanding of Power Attack). So,
- can this Curse be removed with say Remove Curse?
RAW no, but I'd rule yes, and explicitly rewrite cursed wounds so that that's the case.