When I first started playing I had the same reaction as you. I was trying to win and the rules didn't seem clear. I continued not because I liked the game, but because I enjoyed the company of my friends, even if the activity didn't make sense to me.

Now, whether as DM or player, I enjoy it not as a game to win, but as a story to explore. Like an interactive movie. Even when I am the author of the plot as DM, I can't predict what my players will do, and it becomes an enjoyable discovery as they force plot twists from their end.