1.  I walk  and  I do walking.   What is the difference between these two?

The latter is not very idiomatic. It sounds a bit like you are taling about your hobbies.

2.  Drink milk before you go to sleep.   and   Drinking milk before sleeping.   Which one is correct?

The former is a sentence, because 'drink' is an imperative verb form.

The latter is merely a phrase, with no main verb. 'Drinking/sleeling' are gerunds.

3. Industry zone  or  Industrial zone /  Resident zone   or  Residential zone. 

   Do I need to use Adj or Noun before zone?

The idiomatic thing is to use an adjective.

4. Keep me informed if you receive the new message.  

"if" here is correct ? Yes. It expresses a condition.

 Do I need " ed " after receive like "received" ? No, use simple present.

" s " after message like "messages" ? Only if you are talking about more than one message.

best wishes, Clive

For question 2,  which one do you think it is better for a note?  Another one is " Using hot water bottle before you go to sleep. "

If you mean you want to give advice to someone, say this.

Drink milk before you go to sleep. 

Use a hot water bottle in bed.

ie Use the imperative form.

Clive