Remember that on the Mac you almost always have the menu bar at the top of the screen. In that menu should be a "Window" menu, which lets you see a list of all open windows and provides feedback on their status (a • next to the window signifies unsaved changes, a check signifies that it's the current window, a diamond signifies that the window is currently minimized to the Dock, etc.). You can use that menu to help deal with the windows associated with that application.
In the Windows user interface paradigm, the basic building block is a window. The task bar at the bottom of the screen helps you deal with those windows. Each of those windows is self-sufficient, in a sense, since each one contains the menus to work with the objects in the window. The windows are thought of as independent entities.
In the Mac's user interface paradigm, the basic building block is, first and foremost, the
application and
then the window. Applications can have any number of windows which are owned by the application and cannot exist independently like they can in Windows. The Dock on your screen serves a couple of purposes. First and foremost, it helps deal with the Mac's basic building block, the application. Clicking on an application icon in the Dock (if it's already running) changes the menu at the top of your screen to that of the application and brings all the windows of that application forward.
A secondary function of the Dock is to help deal with the windows of those applications. It does this in two ways: First, you can Control-click (or Right-click) on the icon of an application to see a list of the windows associated with the application, similar to the Window menu I mentioned above. Second, and this is the part that's somewhat similar to the "taskbar" idea in Windows, you can temporarily minimize a window of an application to the right side of the Dock.
The Mac behaves differently from Windows because of the difference in the underlying beliefs about human interface design principles. You've been used to working a certain way, and the Mac is ask you to work in a different way, which may take some time to get used to.
While the following article is intended for software developers, it may be helpful in understanding some of the underlying ideas on the Mac and why things are the way they are:
Human Interface Design Principles.
Hope this helps...
Dual 2.7GHz PowerPC G5 w/ 2.5 GB RAM; 17" MacBook Pro w/ 2 GB RAM - Mac OS X (10.4.9)