I will try to help you as much as I can...I am still a ms3 noob, but I am no stranger to turbocharged cars. Please anyone correct me if I cam wrong.
The downpipe is the pipe that goes from the exhaust housing of your turbo to your 'cat pipe'. The 'cat pipe' is a short pipe that contains that catalytic converter and connects to the catback exhaust.
a test-pipe is a cat pipe replacement that is just a straight pipe with no cat in it.
Therefore, if you did a catless downpipe, a race pipe, and a catback exhaust you would be running completely catless. Running without a cat will cause you exhaust gas to be 'smokier' and smellier, not to mention you can get in legal trouble if caught running that way.
does that sound about right?