Re: Why do some insects have wings and some do not?

     There are three different types of insects that lack wings.   
Immature insects never have wings because they have not developed yet.  
Most of these need only to feed and grow so the eggs are usually laid by 
the parent insect in an area where the growing larvae will have food. 
Wings either develop slowly as the immature insect grows (as in 
grasshoppers and other insects with incomplete development) or develop 
during a pupal stage (as in butterflies).  The adult then has functioning 
wings, which allow it to disperse, mate and lay eggs in a new area. 
     Some primitive insects never had wings.   These include such 
flightless insects as silverfish.   None of the ancestors of these insects 
seem to have had wings.   
     Finally there are those insects that have secondarily lost wings
or  have reduced wing size to the point where that cannot fly.   These
include some grasshoppers, many parasitic insects (like lice and fleas), a
number  of beetles and even some moths (the bagworm for example).  The
ancestors  of these insects had wings, but their ultimate life style did
not require  flight.  Selection pressure then probably eliminated the
ability to fly.   In the case of parasitic insects at least, wings may
even have been a  major difficulty and were probably eliminated rather
quickly.   Wings would probably catch on the host's hairs or feathers and make it
difficult  to hide. 

Reference:

Borror, D. J., C. A. Triplehorn, and N. F. Johnson. 1989.  An Introduction 
to the Study of Insects.  Saunders College Publishing, Philadelphia.

A summary of the answer is that some insects don't have wings because

1.  They are immature and do not need them yet.
2.  Their ancestors never had wings.
3.  They lost their wings because of the way in which they live (for
example parasites).