Well, my understanding is your user exists on whatever instance you signed up on. You could technically create users on every single instance, but that is not necessary. You only need one user to exist somewhere, and then you can subscribe to, and post to communities on other instances.
For example: from lemmy.ml, if you search for [!gaming@beehaw.org](/c/gaming@beehaw.org) you can then open the sidebar and subscribe to, and post to, the gaming community on beehaw.org with your lemmy.ml user.
!gaming@beehaw.org is not the same community as !gaming@lemmy.ml
Aww man, no auto-play of gifs? OK...