newbie questions on Drupal

I have been playing with Drupal for a day or two and I plan on building new sites, and migrating my already built CMS websites to Drupal soon, but this unique admin/user menu approach is really hard for me to understand. On a classic CMS site with one administrator I don't see the benefits, but I understand that for Web 2.0 applications there are big perspectives in this way. At the moment I build just single administrator based CMS sites.

1. About the menu:
I couldn't figure out, how to have a classic menu just like in any CMS. At the moment, the best way was to make a new menu "My Menu" and link every content under this menu. But on more polished websites I see the default "Navigation" menu on the left, which means they use the same single menu both for users and for editors. How do they do it? On the permissions I see an entry called "Admin menu", but I don't know where did it came from, or how could I make different permissions for different parts of the menu. Or if you say, isn't anything bad with using "My Menu" for CMS sites?

3. I don't understand this whole Theme / Blocks / Modules approaches, why is it so complicated if I really couldn't disconnect them from a very restricted way:
I mean, I would need to use
- different Theme for different Pages
(different Blocks for different Themes - I found it)
-> including different Menus for different Pages

How could I do it? I think if Drupal is a bit complicated, it's worth spending time because examples like these ones? How could I achieve this?

4. (small)
Why do I have a + sign in one of my bottom level menu items?