Welcome to the multiuser, multitasking, multieverything world. Linux is designed to run multiple users and processes concurrently. This means your system is capable of doing many things, even while it appears to be idle. This is the reason so many businesses and organizations use Linux as a Web server, email server, file server, print server ... well, you get the idea.
From the perspective of the individual user, this means that all users in your family (or office) can have desktop environments that are truly theirs and theirs alone. Your desktop can be configured and modified to let you work the way you want, with different backgrounds, icons, colors, or themes, depending on your mood. It also protects your personal information from others, meaning that the kids can totally change their desktops and reorganize things but you won't be in any way affected when you log in.
I'll have you logging in very shortly, but for the moment, I want to say a few words about your new desktop.