So when I purchase bitcoins I send them to my wallet.
But when I purchase Ripple there is no wallet?!
How the fuck can I send my ripple from the exchange to my wallet?

Yes there is no official wallet for this coin. if you want it secured buy a ledger nano s because as far as i know this is the only offline wallet for ripple. this is why i dont like ripple even the price goes high because how come ripple didnt make an official wallet for their cryptocurrency. and what i dont like the most is if you send ripple to a new address it will charge you 20 ripple to book your wallet. while in other cryptocurrency it is free to have multiple wallet.