Okay first welcome to the forums, check out the FAQs and Forum Rules.
Be sure to use the rep button also, like if someone helps you out give them some good rep. ( Next to the online/offline bit on each post)
You download games by buying point cards from shops or online then downloading the game from the Virtual Console (the shop on the wii)
Not sure on a new Zelda game.
And I personally think the new Sonic game is good, but use the search bar to search for threads already made about Sonic games. You should be able to find alot of peoples opinions about the game there.