No, these are not correct direct speech sentences, as they do not have quotation marks.
For changing them to indirect speech:
Simon says, I am a medical student. would be Simon said he was a medical student.
The police asked me, where do you live? would be The police asked me where I lived.
He said, I am going to school everyday. would be He said he went to school everyday.
He said, do you go to school everyday? would be He asked if I went to school everyday.