wallet.dat is inside appdata/bitcoin
So it's ok. After all, unless you specify the folder using datadir blablabla it always put the wallet there
When you start the client it looks inside appdata/bitcoin for a wallet.dat. If there is one then it use it and show you the bitcoin inside it. If there is no one then it automatically create a new one (empty of course). Also, it start downloading all the blocks (syncing), wich takes hours and hours.
That's all
About the no connection thing, it's not normal. It should have at least 8 connections after some time you let it run.