The reason I never used this website is that it has always been impossible to log into. That includes Stack Exchange, which I don't understand at all. I originally signed up with OpenID, but it is a chronic obstacle to log in, so most of the time I just skip it. I am supposed to be able to log into Stack Exchange with OpenID, but there is no way to do it. It seems like everywhere I go (subdomains) on this website new logins are required. Is this normal? can someone explain what I am doing wrong?
Stack Exchange is an entire network of sites. When you create your first account on any particular site (like Stack Overflow, English Language & Usage, Arqade, etc), you will only automatically get a global network account.
So yes, you will need to create a new account on each site on the network. I believe the reasoning for this is that there are networks where there will be very little crossover - for example, are you ever likely to create an account on Moms 4 Mom? In addition to saving on storage costs, this also keeps everyone's profile pages cleaner (consider if you actually had an account on each site - after the association bonus, it would be very cluttered). In addition, should you automatically get an account for something that goes through Area51? What about proposals that don't end up working out?
In the end, it's a design choice to keep everything simpler - you only create an account on those sites where you yourself have expressed an interest in doing so.
However, once that's done, you'll log-in automatically to all of the sites after you've created an account there (although you may need to refresh a site you haven't visited in a while), and all of your accounts will be linked to your network profile on Stack Exchange.
As well as using direct OpenID credentials, you can also log-in to Stack Exchange from any site that supports OpenID - Google, Facebook, and Twitter all allow you to authenticate your identity by being logged into their site.
In this way, you needn't set up another account and password to forget. This is what the 'My Logins' page is for - it allows you to connect other OpenID accounts to the same Stack Exchange account, if you prefer to log in with Facebook one day and Google the next (or don't even want to be bothered remembering).