Many sites will require you to make a deposit before cashing out. This is for your own protection, to make sure that someone else isn't taking your money.
Rules for bonuses vary a great deal, so be sure to read the Terms and Conditions for the site before depositing there.
Some sites will allow you to withdraw freeroll winnings without withdrawing, others require you to deposit and/or play raked hands in order to cash.
The definition of a raked hand also changes from site to site. Make sure you know what the minimum requirements are. You can play forever at .01/.02 and never rake a hand at some sites.