Well, 1st of all you should read the pdf files of the manual about the fms and autopilot funtions from pmdg, they really help you, I did that and I manage to understand and operate the fms.
Basicaly what I do is, allways give priority to atc, though fs9 atc can be a pain sometimes...hehe
I take off and, usually, keep rwy heading manually for a few seconds until atc tells me to turn whatever way and resume own navigation. after atc says that I turn on lnav and vnav letting fms take control of the airplane.
When atc gives me the aproache it usualy never is the one that I have in the fms, so what I do is turn off fms and use the autopilot "manually", I mean, I imput the speed, flight level and heading directly on the knobs, without the intervention, at least directly, of the fms...I do that because fs9 atc never gives you a sid for the aproache, so I don't know exactl which path atc wants me to follow in advance...
From this point on I keep fms flight plan off and just imput the hdg and flight level that atc gives me manually...
If fsx atc has the ability to give you specific wpt, sids and speeds, you can just imput those on fms, adding them to the place where you want the wpt to go...
Sorry, about not being too clear about this, but I'm also a bit newbie in terms of complex navigation a/c...

anyways....I hope it helps

cheers
edit:
I forgot about the 1st part of your post...hehe...sorry...
After you imput the FP into the fms, it will have an option in RSK6 to activate the route, if you prees it, the route will be shown in the mfd.
After that you can select lnav and vnav to make the a/c follow the fms FP. lnav will control hdg, and vnav will control altitude and speed, as long as you have the autothrotle armed..
Also you need to have the FD (flight director) activated...
well, hope it helps and sorry again for my not so perfect english...
cheers