I don't know if this is for real but I'm feeling tutorialy tonight ^^
You're looking at dashboard a special "space" where you can put widgets.
Dashboard preferences are in :
Lion :
System Preferences > Mission Control :
There you have "show dashboard as a space" (your case) otherwise dashboard appears as an overlay on your display (quite useful if you find widgets that you like).
Look for the "Hot Corners" button that shows you what action happen when you move the mouse cursor to one of the four screen corners (select "-" for all corners if you don't want anything special to happen).
The hot corners are quite useful to turn the screen saver on etc.