The guys have already said it but as a long-time LR user myself, I'll pile on. I was terribly confused when I first started, too, and honestly made a bit of a mess of my archives. Basically, LR gives you the choice of just mapping/copying or completely moving the files. The LR catalog doesn't actually store anything. It's just a sort of thin layer that points to photos wherever they may be stored and remembers any alterations you've made to them as a separate file (that way, your originals always remain intact). So when you "import", you're really just notifying the catalog about new photos that exist. LR will help you by creating a new file in a designated disk if you've chosen that option.
For example, if I'm important new photos from a CF memory card, I generally just select "copy" and the files are copied into a new folder on my external drive automatically.
If I find an existing photo sitting on my computer desktop, I'll select "move" when importing and it will disappear from my desktop and end up in a new folder on my hard drive.
If I just want to work on photos that are already on my hard drive but aren't associated with that catalog, I'll use import and "add", which doesn't do anything to the file at its existing location, but it just allows me to work on it from that catalog.
There are lots of different styles, but I use lots of different LR Catalogs, depending on what I'm doing. I keep a separate one for each client, and also for personal stuff, by year.