Simple answer.

1. Yes each wallet must be downloaded unless it has an online wallet. Never use an exchange as a wallet.

2. You will lose your coins if wallet.dat is deleted. Find wallet.dat here :

First search %appdata% hit enter.
Look for the coins name and open folder. A wallet.dat file will be there. Back it up !!
To restore your wallet or to change to another one simply replace the wallet.dat file.

3. Use this forum.