[development] Query about new page

Hi , I am new to drupal and i want to create new page like abc.php but i don't want to create this page from admin section create content -> page / story ... bco'z it save the page into database ... i want to create new php page by my own and then let say call this from one of the menu item ( on click of the menu ) .. how can i do that ... and also wanted to know why drupal is saving all the page in database ... is for some optimization or achieve some functionality. ankur