Assuming you mean a Bitcoin wallet, you have a couple of options. You can download a full node wallet like the Bitcoin Core wallet found here: https://bitcoin.org/en/download
this will require you download the full blockchain which is over 150GB if I'm not mistaken. You can prune that, but for the sake of not getting too technical, I'll just leave it at that.

Then there are light wallets that don't require you download the blockchain, such as Electrum which can be found here: https://electrum.org

Wallet clients stored locally on your computer are more secure than web wallets but there are also some pretty well known ones like a blockchain.info wallet that can be secured reasonably well. I've never really used mobiles wallets so I can't speak to those that well. The one thing that no one has mentioned yet that I'll mention is do not leave your money on exchanges. Using an exchange as a wallet is the best way to lose your money.

If you are looking for an alt coin wallet, your best bet would be to check the alt currency section.