This video will show the basics of working with polyline objects in AutoCAD. Please refer to Tutorial 2-7 for more information.
Although you can draw many with objects with lines, there are a lot of times when you will want to use Polylines. One common use is if you draw a shape and then offset it. It's better to offset one object rather than a group of 20 lines.
As you learn more about AutoCAD, you'll figure out when it's best to use one over the other.