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(sigh) lawl.
Do you have your timeline highlighted? In your Premiere window, you can "select" a workspace where you're clicking. I think it outlines it in yellow, at least it does on CS3. Make sure your timeline is selected.
Basically, when Premiere plays your movie IN PREMIERE, every time it plays a clip it is reaching out into the harddrive, finding the file where the clip is located, and playing a certain portion of it. When you export, you compile all the clips together, essentially copying those portions into one new movie. This movie is then another "clip" on the harddrive - its a real clip, not just something being looked for.
You need to export your movie because obviously websites are not going to be able to ping into your harddrive to get at your clips. Exporting makes your movie into ONE clip that goes on the internet.
Hope this helps, and hopefully I got it right (I can just see Allen coming in here and tearing me a new one...).