adam,
The general order of the process is to:
1. Draw the part in Cad and save as a dxf file.
2. Open the dxf in a Cam program like SheetCam (excellent program)
3. Configure the operations in SheetCam and
4. "Post" the process which generates the appropriate G-code file for your Controller such as Mach3
5. Open the G-Code file from step 4 in your Controller and run it.

Yes, there are some expensive Cad/Cam programs that will combine steps 1-4, but as far as I am concerned, are way out of the cost justification for most of us.
While it seems to be a bit of messing about, once you become familiar with it, it is rather easy to do.
Also in my experience, a program that can "do it all" many times can do none of it well. Having separate programs allows you to mix and match to suit your preferences.

Hope this is helpful