Your 4th paragraph completely cleared it up for me. Now I can proceed. Thanks a lot.I think your problem is that you're confusing a lot of things. Part of the reason for that is that there are several parallel topics running here. I'll try to lay it out straight; please forgive me if I seem to be talking down to you -- that's not my intention.
There are two ways to control your trains (in general; there are some less common methods that I will ignore for simplicity's sake): DC and DCC. They are different animals, and what applies to one does not apply to the other.
DC is direct current. It uses a power pack, which consists of a transformer (to lower the voltage), a rectifier (to convert AC household current to DC for the track), and a rheostat, which controls the amount of voltage supplied to the rails. There is also a switch to reverse the polarity of the rails, thereby reversing the direction of travel of the loco. Trains are run by using the rheostat to increase or decrease voltage, which makes locos speed up or slow down. Every loco on the rails gets the same voltage. MRC is arguably the leader in DC power packs.
However, MRC is also one of the big names in DCC systems. You have a Prodigy Advance2, which is their flagship DCC system, so nothing in the previous paragraph applies to you. Any visual similarity between the systems is incidental. The box contains everything you need to hook it up; no additional power supplies, transformers, or anything.
DCC works by applying a modified AC to the rails at a constant voltage and amperage. The throttle sends coded signals through the rails, addressed to a specific loco. Inside each locomotive, a small PCB called a decoder picks up signals intended for that locomotive and determines how much power and what polarity to send to the motor, as well as to lights and speakers (if equipped). Because track power is constant, each loco can be controlled independently of all others, as long as the total amperage of all locos does not exceed the output of the DCC system (and if it does, you can always add a booster). You control the loco by giving it speed and direction commands through the throttle, and don't have to worry about track power. While each throttle can only issue commands to one loco at a time, a single throttle can toggle between multiple locos in memory (25 for the Advance2), and send commands as fast as you can call them up.
Installing decoders is the hardest part of getting DCC up and running. You can get new locos with a decoder installed at the factory, or so-called DCC-Ready ones. For the latter, it's usually as simple as removing the shell, removing a jumper, and plugging in a decoder that you purchase separately. Older locos will probably require some electrical work and soldering -- harder, but not beyond anyone's abilities with a little practice.
Hope that helps.