Well, this is a pretty weird question)) I recommend you to open and read some threads for beginners in order to figure out how it all works. Cause if such a question occurred to you, I bet it is not the only one)) I think, it's great to ask questions like this, but they have already been answered in lots of threads)) Read it and you'll find lots of useful information there.
And, yes, you must have a wallet, otherwise you won't get any rewards. By the way, it depends on the bounty, you need to have different wallets, such as ERC20 wallet, nep-5 wallet, xem wallet. Cause ICO can be on different platforms and you need to have matching wallet.