If you want to go from point X to point Y, but doing so means stopping at points A, B, and C in that order, do you only buy one ticket from point X to point Y, or do you have to buy the tickets for point X to A, A to B, B to C, and finally C to Y?

The reason why I am asking this is because when the ticket seller at the Salamanca (Spain) train station asked me where I was going, I told him "Lagos, Portugal". He said they don´t go there so he gave me a point-to-point ticket for Lisbon instead, although that is not my final destination.