No, that is not what happens, there is a window that comes up where you are supposed to put in a "Node setting" address. What am I supposed to put there??? There is no instructions on the step by step guide: https://iota.readme.io/docs/general
http://iotasupport.com/lightwallet.shtml
Is there a link to this page from their offical homepage? Or any mention of this address you are supposed to connect to? : http://iota.bitfinex.com:80
Is the "Full Node" setting more secure and if so what should I put in there?
http://www.iotasupport.com/gui-lightwallet.shtml
No. But full nodes can help to build a more secured network.