Withdrawals in demo account are just to show you how the withdrawals work. At some point, it will throw error and stop you from withdrawing.

MT4 is probably the most commonly offered platform for trading forex. The s/w by itself is pretty good and you can write your own indicators and EAs.

There are thousands of sites and forums (with look and feel just like this one) that offer MT4 source and or binary for practice.

Best thing about MT4 is that you can set Profit and Stop loss levels for same order and then walk away from it and let market go in whichever way it will. This will help you control the extent of losses.