A Bitcoin wallet is just like your own wallet that you use everyday. Of course, it is electronic. And if you accidentially lost you wallet (file), you will also lost your Bitcoins stored inside. So do keep it in a secured place and make sure only you can access it.
There is an (or sometime more than one) address attached to the wallet, just like your bank account number. It is used to do operation like, making payment to others Bitcoin wallet, receive payment from other wallets. These transactons now can be easiler done with sample UI sofware.
For more information and which popular wallets software is available, please click the link below for more detail:
Bitcoin.org: Choose Your Wallet