Can I delete OneDrive from MacBook Air without it deleting iPhone OneDrive app?

Yes, you can do that. To be on the safe side, I'd suggest you unlink the account on your Mac first:

1. In the menu bar, click the OneDrive icon.
2. Choose Preferences.
3. Click the Account tab.
4. Click Unlink Account, and confirm as necessary.

Now you can uninstall OneDrive (just drag the app to the Trash).

Finally, move your OneDrive folder to the Trash and then empty it.

OneDrive puts an icon in the menu bar, top-right of the screen near the clock. It looks like a cloud. I think Microsoft has changed the interface at least once, and I don't have it installed to test right now, but I've no doubt that what Lawrence says is correct for the current version i.e. click Help & Settings > Preferences. That'll teach me to give advice entirely from memory.

No worries. It sounds like you might be looking at OneDrive in a browser, which isn't where you need to be. When I mentioned the clock, I was referring to the top-right corner of the screen on your Mac where it shows the date and time, Wi-Fi etc. Leftwards from there is the OneDrive icon, as shown in this screenshot from Microsoft.

Yes.

Click on OneDrive, then Help & Settings, Preferences. Note that you can set OneDrive to only download files to your computer that you actually want to open, in those same settings.