I think I understand what you're talking about Continuity.
I bought the cassette separately from my LBS. I think he said at the time that they had been sitting around for a while. I've attached some pictures to show you what I have:
the smallest sprocket also acts as the lockring. 
That's definitely right.
If you can't get it to thread back together and tighten properly, you probably need a new freewheel.
My final cog is missing a tooth, so i'll need something new anyway. Like I posted before, I only ever ride my bike in top gear. My current small cog has 14 teeth (13 if you include the missing one) so I was thinking of getting something like
this instead. Would this fit my wheel?
I'll order that tool now.
EDIT:
With a threaded small cog and the interface = freewheel.
With a threaded small cog and no interface = cassette
What's this "interface" that you're talking about? I'll check if I have one
I have ridges inside my wheel that a tool would fit on. Is that what you mean?
EDIT EDIT:
But I haven't got a lockring though have I? My final cog acts as my lockring. Do I still need this tool?