I'll answer the question as it is stated, but I have to wonder whether it is complete. You state that you have a second input file, but it doesn't play a role in your actual question.
1) It would probably be most sensible to store the fields individually, as in
awk -F \| '{ for(i = 1; i < NF; ++i) a[$NF,i] = $i } END { print a[44,3] }' filename
See here for details on multidimensional arrays in awk. You could also use the split function:
awk -F \| '{ a[$NF] = $0 } END { split(a[44], fields); print fields[3] }'
but I don't see the sense in it here.
2) No. At most you can print the data in a way that the surrounding shell understands and use command substitution to build a shell array from it, but POSIX shell doesn't know arrays at all, and bash only knows one-dimensional arrays. If you require that sort of functionality, you should probably use a more powerful scripting language such as Perl or Python.
If, any I'm wildly guessing here, you want to use the array built from the first file while processing the second, you don't have to quit awk for this. A common pattern is
awk -F \| 'FNR == NR { for(i = 1; i < NF; ++i) { a[$NF,i] = $i }; next } { code for the second file here }' file1 file2
Here FNR == NR is a condition that is only true when the first file is processed (the number of the record in the current file is the same as the number of the record overall; this is only true in the first file).