It seems that you are trying to use Lightroom like you would use a regular file browser. That isn't going to work. The only file that Lightroom opens is the catalog. The catalog is a database. You must choose which photos you want include in your catalog, and they have to be imported. You'll probably import different folders of images. As you do that those folders will begin to display in the folder tree of the library module. You'll have to design your own way of organizing. I usually organize my images in folders by date. I have my catalog with master folders for each year and then subfolders within that year for each project. A collection is used when you want to combine images from different folders because they belong together because of subject matter. Again, you will need to learn how you want to organize your catalog. I would strongly suggest that you take some time to understand how Lightroom works. It is much different than other software that you have used. Here is a link to some excellent tutorials on YouTube:
This next link, you can download a free tutorial that will discuss the basics. It is definitely worth your time to read it.
Definitely download the Lightroom Queen's FREE ebook as Jim and Hal suggested.
In addition, Laura Shoe has some excellent articles and videos to help you get started with Lightroom and understand how the catalog works:
I empathize with your frustration, but I assure you that if you'll spend the time to learn Lightroom, you will not be disappointed.