Let $M$ be Riemannian manifold. Where I can find the proof of the following fact:
the group of isometries of $M$ is finite dimensional Lie group.
Additional question:
what is known about the dimension of this Lie group, does it depends from the choice of metric?
This is called "the Myers-Steenrod theorem" and you can find it right at the beginning of chapter II (page 39) in Transformation Groups in Differential Geometry by Shoshichi Kobayashi. See also the references therein.