Apple just released the Mac App Store, and with it came one very unfortunate feature. It was well-intentioned, but poorly executed, and it ends up being an "attractive nuisance," meaning that it's something that you're really better off ignoring: third-party apps not purchased via the Mac App Store may appear as "Installed" there, leading to unrealistic expectations of what you can do with Apple's latest service.
Here's a quick overview of how the Mac App Store works, in case you haven't tried it: 1) you search for an app, 2) when you find an app you want, you click on the button showing "Free" or "Buy" with the price listed, 3) the button changes to "Installing" while the the app is downloaded to your Applications folder and 4) the button changes to "Installed" when the app is fully installed.
The problem is that the Mac App Store also recognizes apps that you have purchased outside of the Mac App Store if the version of the app matches the Mac App Store version exactly, using something called the "Bundle ID." For example, if you noticed that the Mac App Store showed iPhoto as "Installed," even though you bought it through the boxed iLife set, but the Mac App Store did not notice that you already have Pages installed, it may be because you haven't installed the latest iWork update.
As you might expect, this has led to quite a bit of confusion, so it bears repeating: if you have not purchased an app through the Mac App Store, you cannot re-download it or get any future updates through the Mac App Store. For that, you will have to continue to check for updates using the app's built-in mechanisms, or check the developer's website. The folks at Panic and Barebones have written very good posts about this, as have the folks over at Macworld, so check them out if you're still unclear about how this works.