Does Lily Die in Blacklist?

Anslo Garrick killed her in an attempt to try and convince Red to come out of the cell.

Does Red have a daughter?

Jennifer Reddington is the daughter of Raymond Reddington and Naomi Hyland. She is the half-sister of Liz.

Who does Red look up on ViCAP?

Red uses his new access to ViCAP to look up the number the Chinese gave him (in episode 3); it's the number of a file on a woman named Lucy Brooks. Red comforts Elizabeth as she mourns her father.