Regarding the confusion about the heating and ventilation controls, here's
a good article:

http://www.gowesty.com/library_article.php?id=311

Regarding the hot air, you're feeling: if you slide the lever that
controls the temperature of the air (second from the top) all the way to
the left and are still feeling hot air, it's possible that the coolant
valve is not closing completely, thus allowing coolant into the heater
core and heating the outside air on its way into the cabin. This valve can
be accessed from underneath the vehicle to see if it is indeed fully
closed. There are many posts on this list regarding replacing this valve,
if that's what's needed.

- Kevin