One confusion that can be cleared to help understand conservation of energy is to understand the fallacy of dissapperance, which means physical things vanish: a once existing object becomes non-existent.
For example, we are taught early in school that one take away one is zero, which could infer that the first one had itself taken from itself, which means it was canceled out, it dissapeared. This has never physically occured. You can move an object from one place and it will be said not to exist in that old place, but it will exist where it was moved. In the sense I have mentioned, you cannot take one from one. How would you take something from itself? It's just moving!
Dissapearance is positively based upon the concept of the displacement of an object to a place where one cannot sense it. Just because something is too far away, has divided into unseeable parts, accelerates to speed which makes it unseeable, or combines into some unrecognizable form doesn't mean it has become non-existent. It just means you don't sense it now.
Conservation of energy idea essentially says:
Existing things stay existing, but may be invloved in a change of form.
Existing things don't turn to non-existence.
Non-existence (whatever that is) doesn't turn into existence.
It's that simple.