I am new to InDesign, but messed up my downloads

And I'll hit the first part of the question:

trying to import a jpg picture from my computer, thinking I needed to convert it to PDF.

You don't. In InDesign, you can use File > Place to import the JPG directly into your InDesign document.

I'm not sure what you are asking here. This may be an InDesign issue but it's hard to say.

Let's start with you describing what you mean by "everything I download goes into PDF and I do not have any other choices to change it to". Download from where?