Orders and "fills" are confusing!
That is how most exchanges work, with an order book containing bids (buy) and asks (sell) orders. The trading engine of the exchange will match orders as quickly as possible, though in cases of a crash or excessive volume exchanges have been known to suffer a severe amount of trade lag (e.g. mtgox), resulting in orders not being filled at the last price when submitting an order.

Here's an example of how an exchange works:

You have 1 XBT you would like to sell for $1000, so you go to an exchange, deposit your coin and place a sell order of 1 XBT @ $1000. If there are bids over $1000, your order will fill at the price of that bid. E.g. If there is an order to buy 1 XBT @ $1050, you will receive $1050 less exchange and withdraw fees.

If there are no buy orders above $1000, the exchange will put your order in the orderbook and wait until it fills or is cancelled (or expires, in some cases on some exchanges). In this example, if someone were to later place a bid to buy 1 XBT @ $1050, they will pay $1000 for your order (providing there are no orders trying to sell XBT for less already on the book).

If you are trying to sell in an easier manner, I would recommend using Coinbase, which works very nicely within the US.