So - when you create a web page in DNN. Where are the physical files for these pages placed? Is there a physical file or does DNN just use the page template then fill the page according to some settings in a table in the database?

I am needing to create/add a page that is blank but in the code behind handles the Authentication/cookie making for my Common Security Platform(Form Authentication). When I try to create a folder "Standard" then put the Login.aspx inside - then set the web.config to direct to this page when not authenticated I get an error saying something along the lines of ("mysite"/Standard/Login.aspx is not in the list of portals) I'm guessing this means that DNN is handling the path as if it were a Child Portal instead of a folder/file path inside of the current portal.

Any suggestions on how to handle this?

There are no physical pages in DotNetNuke. The pages are built as needed using the Default page, the skin file, and the modules added to the pages. The Default page and the skins are files. The content is stored in the database.

My unserstanding of your question is that you need to do some special authentication. If this is the case, the "right" way to do it is my adding a custom authentication provider. It's not too hard to do, and there is a nice blog entry on this topic by Joe Brinkman over at the DotNetNuke.com site. You can start with the source code for one of the existing providers (Joe started with the standard provider) or build it from scratch. If you do this as a custom authentication provider, then you stay inside of the framework, and call use all of DotNetNuke's available tools.