When I put a figure inside tow columns environment, it is not appeared and I get the following warning.
Floats and margins are not allowed inside multlcoulmns environment.
[…]
The warning says it all. Multi-columned environments simply don't allow floating objects. And that does not depend on whether you set up this environment by the twocolumn document class option or by the multicol package.
A possible solution is to use figures (and tables) at fixed positions without any float environment. For this purpose the caption package provides the \captionof command. The below code shows a short example derived from your code.
For details please take a close look at the respective package manuals. To keep the figure and its caption together, an additional {minipage} environment has been used. Otherwise it can happen that they are split across column (or page) breaks.
By the way, the a4wide package is obsolete. You better use the geometry package along with the corresponding option a4paper for the document class to set up the page layout (see above code).
The lipsum package has only been used to create some dummy text, thus is not part of the solution and can be dropped in the actual document.