Hello,
If you are capturing from a VHS machine or camcorder, yes it will create one big file, unless you manually start and stop the recording.
When you trim video in the trim window, it doesn't produce edited video clips for you. It just marks the in/out points and then makes the edit when you produce the final video file.
The fastest and easiest way to do what you are asking would be to use the Precut feature, which lets you cut a video into segments and then you can import each segment into the timeline one at a time to produce. Unfortunately, Precut wasn't added until PowerDirector 17.
David