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
![Wink](https://bitcointalk.org/Smileys/default/wink.gif)
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
![Cheesy](https://bitcointalk.org/Smileys/default/cheesy.gif)
About the no connection thing, it's not normal. It should have at least 8 connections after some time you let it run.