You're pleased and mad at the same time? What a paradoxical situation!
Anyway WPMU uses a single MySQL Database all the data for all the users is stored in this database.
There are two ways to configure WPMU, you can either set it up so it uses sub directories for the blogs eg. yourdomain.com/exampleblog or you can set it up to use virtual hosts eg. exampleblog.yourdomain.com. The latter requires configuration on your server to enable wildcard dns for *.yourdomain.com and also for a ServerAlias of *.yourdomain.com to be added to your VirtualHost in Apache's httpd.conf.
The virtual host method is probably the most popular but there are a few around that use the sub directories as well but from what I can tell the virtual hosts code is more stable.
At the moment though you can only set what themes and I think plugins that users can use, they can't edit themes or anything yet as there are a lot of security concerns to be addressed with that.
As for installing WPMU you really need to read the README and other documentation, then hopefully try to work most of it out as if you can't get most of the way there I would say you should probably wait a while before trying to implement WPMU, there is still a lot of things that don't work as they should and require advanced troubleshooting so you should be willing to have to deal with coding issues as they come up.