If your question is about visas, then:
All countries in the Schengen Area act as one for visa purposes. Once you enter the Schengen Area, you can travel to any other country in the Schengen Area without needing another visa. So you can definitely go to the Netherlands, Finland and back to the Netherlands before leaving as long as your visa is valid for the duration of your whole stay.
The country you ask the visa from should be the one you are planning to stay the longest in, which in you case is the Netherlands.
Note however that this is valid if you travel directly between Schengen countries. If you transit through a non-Schengen airport (in the UK for instance), you will be considered as leaving the Schengen Area, and entering again. This means you would need a multiple-entry visa, while if you fly directly from one Schengen state to another (or transit via another Schengen state), a single-entry visa is enough.