I've been searching for the windows wallet for 30 minutes and I can't find it?
Does it mean I have to keep my coins/tokens in an online wallet or an exchange?
You can store them in myether wallet or the exodus wallet. If you have an amount of tokens that you would not want to lose I would suggest purchasing a ledger nano s for around $65 US. There isn't an app for FUN but you will be able to using the Eth app. You can also purchase one using alt coins at purse.io just be sure to fund your wallet and setup 2fa before making a purchase there