Do you get hit by the wall when you attack it or only when passing through?
Depends on the wall. Certain walls, Wall of Thorns, Fire, allows for passage through at the cost of being attacked by the wall. Other walls, Wall of Steel, Earth etc, usually prevent passage through and/or blocks line of sight. Attacking any wall will not harm you in anyway. Only the act of passage through the wall will you recieve any damage.
Does a guarding creature also prevent other creatures from attacking conjurations, and when yes what about protecting walls?
The german rules are a little bit unclear about that. At one passage they say that a guarding creatures protect the zone but later they say, that a creature can't attack otheer creatures if there is an opposing guarding creature.
Yes, guards can protect against conjuration as well. As long as there is a creature with a guard token in the zone, the opposing mage and his creature has to attack that one creature at least once to remove the guard token.
Flying and Ranged attacks can usually bypass guards unless the guarding creature has the Intercept trait. Walls are a bit different since they are in-between the zones rather then actually being in the zone. There is a topic that covers this particular ruling.
http://forum.arcanewonders.com/index.php?topic=13418.0Here is the post that answers for guarding walls by Laddinfance:
"You cannot guard walls. As walls occupy the border of a zone and not the zone itself it is not covered by a creature guarding. This is done because each of the zone borders is of an indiscriminate size. Guarding assumes a certain amount of interposition from the guarding creature, but with an object of that size it's impossible for a creature to engage another and prevent it from getting to some point on the wall."
Can you destroy a battleforge or a wall etc. with an arrow? This doesn't seam logical to me, since it is impossible for an archer to destroy a battleforge with his arrow. But in Mage wars archers are a good counter against such conjurations, since their attacks have the piercing trait. Or did I miss a rule?
Yes, you can destroy a battleforge or a wall with an arrow as long as it within range of the archer. I will admit it would be a strange thing to see an armored battleforge dismantled by an arrow, but lets pretend that arrow has some dynamite on it. I believe walls that are at the max range of the archer can still be attacked. I would need someone with a rule book in front of them to confirm that.