Strictly speaking, a family is a function $I \to U$, where $I$ is an index set and $U$ is a universe that contains the members of the family.
Strictly speaking, a set is not a family indexed by itself: it's either the image of the family, if the members are the elements, or the union of that family, $\cup_{x\in X} \{x\}$, if the members are singletons.
The "structure" preserved is how the elements relate to each other under the operations of the algebraic structure. For example, for commutative rings, if $\ a = b^2 - c^2 = (b-c)(b+c)\ $ is a difference of squares then applying a ring hom $\,h\, :\, r\mapsto \bar r\,$ shows that it remains a difference of squares in the image ring, viz. $\ \bar a = \bar b^2-\bar c^2 = (\bar b - \bar c)(\bar b +\bar c),\,$ so this particular ring-theoretic structure is preserved. Similarly preserved are polynomial expressions, i.e. expressions composed of basic ring operations (addition, multiplication) and constants $\,0,1.\,$
For example, a root of a polynomial remains a root of the image of the polynomial. So we can prove that a polynomial has no roots by showing it has no roots in a simpler homomorphic image, e.g. a ring with size so small that we can easily test all of its elements to see if they are roots, e.g. common parity arguments: $\,f(x) = x(x\!+\!1)+2n\!+\!1\,$ has no integer roots since $\,x(x\!+\!1)\,$ is even, so adding $2n\!+\!1$ yields an odd hence $\ne 0;\,$ equivalently $\!\bmod 2\!:\ f(0)\equiv 1\equiv f(1),\,$ i.e. $\,f\,$ has no roots mod $\,2,\,$ hence it has no integer roots. This idea generalizes as follows
Parity Root Test $\ $ A polynomial $\,f(x)\,$ with integer coefficients
has no integer roots when its $\rm\,\color{#0a0}{constant\,\ coefficient}\,$ and $\,\rm\color{#c00}{coefficient\,\ sum}\,$ are both odd.
Proof $\ $ If so then $\ \color{#0a0}{f(0)} \equiv 1\equiv \color{#c00}{f(1)}\,\pmod 2,\ $ i.e. $\:f\:$ has no roots in $\,\Bbb Z/2 = $ integers mod $\,2,\,$ therefore $\,f\,$ has no integer roots. $\ $ QED
In the same way, we can often reduce problems to "smaller", simpler problems in modular images. Because homs preserve the ambient algebraic structure, as above, we can often deduce information about the original problems from information gleaned in the simpler modular images. Such problem solving by modular reduction is an algebraic way of "dividing and conquering".
Best Answer
Neither of these words have a single mathematical definition. The English words can be used in essentially all the same situations, but you often think of a "space" as more geometric and a "structure" as more algebraic. The best approximation to a general "space" for many purposes is a topological space, but Grothendieck generalized further than that, to what are called topoi.
In model theory a "structure" is a set in which we can interpret some logical language, which is to say a set with some distinguished elements and some functions and relations on it. Some of the most common languages structures interpret are those of groups, rings, and fields, which have no relations, functions are addition and/or multiplication, and distinguished identity elements for those operation. We also have the language of partially ordered sets, which has the relation $\leq$ and neither functions nor constants.
So you could think of "structures" as places we do algebra, and "spaces" as places we do geometry. Then a lot of great mathematics has come from passing from structures to spaces and vice versa, as when we look at the fundamental group of a topological space or the spectrum of a ring. But in the end, the distinction is neither hard nor fast and only goes so far: many things are obviously both structures and spaces, some things are not obviously either, and some people might well disagree with everything I've said here.