I feel your pain Robin, I had the same issue when first switching from pMachine to EE. You have to rethink how you do everything.
In pMachine you created separate pages with the PHP include for pMachine in the beginning of the page. The actual pages reside in the directory where you want them to and only the entries are pulled from the database.
In EE you create the pages and then insert the WHOLE page into the template in the control panel. So the entire page is stored in the database not just the entries. This opens up exciting possibilities but is confusing at first.
This tutorial from Leonard is probably the best place to start learning how it all comes together from scratch:
EE Tutorial
Jamie
