[dba-SQLServer] Security - creating users

I am following along in the How-To I posted earlier, and when I get to the section for creating 
users it says that every user we are about  to set up has to have a windows user.  This can't 
possible be true since millions of people out there on the internet use SQL Server every day and 
nobody is creating a login for them.  Besides I am having to duplicate this inside of SQL Server? 
Setting up a windows user / password and then setting up a SQL server user / password.

How does this really work.

-- 
John W. Colby
www.ColbyConsulting.com