I understand that can all be confusing, and it probably doesn't help that the tutorial has so many different ways to approach the subject. I guess they were thinking that "choice is good", though it can add to confusion for those that may not understand what is happening.
Tha is indeed true, but that doesn't mean you could not still use those methods; it only means that the later versions of WordPress have other "built-in" facilities for doing some of that so that you don't have to use those kind of workarounds in most instances.
This is "the right track", and shows you are getting "close". If you can manage to replace that static page's template with the code you have in your index.html file, you should have it nailed.
It might help you understand what is happening to point out that, actually, you did have it working fine (the index.,html loads, and it links correctly with your "exit" and "enter" links), except for the fact that once inside your WordPress site, all links "automagically" point to just "http://mistresssemilie.com/" instead of "http://mistressemilie.com/index.php". Since there is no "filename" in that url, the apache webserver goes through it's list of "known index pages" looking for something to load, and it finds your index.,html before it finds "index.php", and it loads it. BTW, that is why your index.html loads when a visitor first comes to your page, so it's a bit of a "catch-22" and is why you are having the problem.
It might seem that if you could just your domain set up to have apache to load the index.php by default (which is what it will do if you have no index.html) the problem would be solved, but then you would be right back where you started having no "entry" page.
All that aside, and moving more directly to your issue, since you are using WordPress 2.3.1, and do have the ability to set a pages as your home page, all you need to do it get rid of the headering/sidebars, and you can do that by using a custom template instead of one of the default one for the "Page" you want to use for your gateway (see http://codex.wordpress.org/Stepping_Into_Templates).
Essentially, what you need to do is create "template" file that does not include the header/siderbar, etc. and use that template with your "gateway" page.