Sorry for the frustration, but many functions just don't seem common sense on this machine.
One would assume that you switched from Windows because you wanted something different. So don't be surprised when you find that it is, indeed, different.
The problem is that you're using a new OS and a whole new suite of software, none of it that you're used to. And yes, it does take time to learn. But if you take your Windows hat off and put your Mac cap on, you'll find it to be rewarding. I can tell you that if you're the type of person that doesn't particularly care for change, you might as well sell that machine now and save yourself a lot of headache.
It took decades of Windows use to develop the habits you have today. Those habits will not change overnight.
If you do intend to keep the machine, I think you'll find this book very handy:
Amazon.com: Mac OS X Snow Leopard: The Missing Manual (9780596153281): David Pogue: Books
It's written in plain English, nothing like the typical computer book that's reminiscent of stereo instructions. Highly recommended.
As to your question about iPhoto... iPhoto manages your photo library and contains all of your pictures in its own database. So, if you're digging around looking for the individual files, that's why you're turning up nothing.
All is not lost, however. It appears as though there is a plug-in for iPhoto that makes it easy to upload and sync with Photobucket:
Manage your iPhoto with these plugins
Otherwise, you can easily export your pictures by just selecting one or more and choosing File menu => Export. Once you get it out of iPhoto, you can do whatever you want with the picture.
Rather than get frustrated, why don't you put together a list of issues you're having and let us take a crack at them? As I said, it's really just a matter of learning some new tricks - there's no such thing as a "Mac" person. It's just like getting a new pair of glasses, you have to give it some time for your brain to adjust