How come Jesus or anyone else never mentioned the 3 different kingdoms in the bible? Seems like a pretty important thing to forget to tell people about?

This is probably way overkill - but here is a great place with lots of references - including those in 1 Corinthians 15: 
 
Link

To answer the first part of your question, someone accepting a proxy baptism is also confirmed a member of the Church of Jesus Christ also so they are no longer a member of former faith but an LDS convert, if and only if they accept the proxy baptisms performed on there behalf.  
 
So once cannot accept baptism in the Spirit World and not be a LDS member.  
 
As for those who choose to remain in a non LDS faith you are correct they cannot obtain the Celestial Kingdom. Only persons who have received the nessicary ordiances of Baptism and Confirmation by the proper priesthood authority can inherit the Celestial Glory.  
 
Those who choose to stay in other faiths will inherit a lesser glory (terrestrial for the righteous and telestial for the unrighteous) according to there acts.

what is a proxy baptism

Proxy means to do something for someone else. For example, companies have votes and have proxy voters who do the actual voting for those that can't be there. 
 
The same is true for proxy baptisms. One person is physically baptized by proxy for someone else. A specific example is that I have been baptized for some of my relatives who lived many years ago. We do these baptisms in our temples. However just because I got baptized for an ancestor means that they automatically become members. We believe that someone who has died and has been baptized by proxy by someone else - will have the choice in the afterlife of either accepting or rejecting the proxy baptism. Make sense?

Im wondering why no one in this blog can explain the different levels of heaven. All i see is that everyone knows that you have to be baptized and married in the mormon church to achieve celestial level. Why arent the other levels explained . The other levels seem to be such a gray area. And where is the line drawn on what is considered living a good life and not. Everyone sins so who decides who was good or bad and where in the holy bible does it show the different levels? I know about different rewards but i have never read anything about different levels. I have a lot of mormon friends and no one can ever give me a straight answer.

Here are some additional links/references that might help: 
 
http://eom.byu.edu/index.php/Degrees_of_Glory 
 
http://www.lds.org/scriptures/gs/degrees-of-glory?lang=eng 
 
http://www.lds.org/ldsorg/v/index.jsp?locale=0&sourceId=d1ef9daac5d98010VgnVCM1000004d82620a____&vgnextoid=bbd508f54922d010VgnVCM1000004d82620aRCRD

http://www.lds.org/ensign/2005/04/messages-from-the-doctrine-and-covenants-the-three-degrees-of-glory?lang=eng 
 
http://www.mormonwiki.com/Celestial,_Terrestrial,_and_Telestial_Kingdoms 
 
http://en.fairmormon.org/Plan_of_salvation/Three_degrees_of_glory

If I may attempt to clarify this to the best of my understanding: 
 
First of all lets clarify what we believe will happen after death. When we pass on from this life we believe that a person will be in one of two places or states. These are similar in nature to the traditional concept of Heaven and Hell, where one is peaceful and paradisiacal and the other is an awful state of an awareness of our condemnation. We believe this condemnation is described in the Bible and the Book of Mormon as a burning of hell fire. We do not believe it is a literal fire, as eternal beings would become acclimatized to this environment. Rather it is a burning within of what we are now aware that our actions have possibly cost us; the burning of possible condemnation, or if I may phrase it as such, the fires of hell. Within the church these two states are referred to as 'spiritual paradise' or 'spiritual prison' to avoid confusion of which I will address momentarily. 
 
What determines where one will end up? 
 
The determination on which place someone will be is dependant upon two things. First and foremost: faith in Jesus Christ. Without this, the rest is meaningless. This is why the Bible states that by faith in Christ we are saved. The second requirement is the ordinances given through the proper authority of Christ. The ordinance of baptism by the priesthood authority allows an individual to be forgiven of their sins through the free gift of the atonement. If they have the faith and desire to accept this ordinance then they are also accepted into the membership of Christ's church. (Christ's church has been established on the earth in multiple dispensations. The name of the LDS church on earth is temporary.) Accepting the ordinance of baptism and entry in Christ's church go together. One cannot be in the Christ's church without baptism and one cannot be baptized without becoming a member of Christ's church. 
 
Baptism also allows the individual to receive the permanent companionship of the Holy Ghost, a member of the Godhead, which will allow them to eventually progress to become like their Father in Heaven if they receive the additional ordinances. 
 
Thus Baptism is a required ordinance. Because it is symbolic of the death, burial, and resurrection of Christ whose name we take upon ourselves, baptism must be by submersion; where we are buried and then raised from the water. Because it must be by submersion it must be done while alive because in death our bodies are separated from our spirits and spirits cannot be submerged. Because it must be done alive, the only way for those who have died to receive this ordinance is by someone who is alive to do it for them as a proxy. Which is why we believe in baptism for the dead. Thus once those in spiritual prison have the ordinance of baptism prepared for them, and they come to a belief in Christ, and if they choose to accept this ordinance, they are then released from that state of condemnation, and enter into paradise. 
 
This is the purpose of the temples. They are a specially dedicated and sacred place that allows us to do this work for those in our family who have died without these ordinances. It also allows us to receive some of the more sacred ordinances for ourselves and for our dead which will allow us to progress in additional ways after this life. However we don't know all of those who are still in need of this work throughout the history of all mankind. 
 
This is the purpose of the Millennium. After the Second Coming of Christ there will be a time that is needed to complete this work for all of mankind that has been on the earth. All mankind will have the work done if they have not already, so that if they choose to accept the required ordinances, the ordinances will have been prepared for them. At the beginning of the Millennium those who are in spirit paradise will receive their bodies again in the first resurrection. 
 
At the end of the millennium the earths work is complete. Only those who have not accepted the ordinances and membership into Christ's church remain in spirit prison. They will then receive their bodies as well. At this point the glories of Heaven will be organized. The greatest degree of glory is called the Celestial Kingdom. The middle degree is called the Terrestrial Kingdom, and the lowest degree is called the Telestial Kingdom. 1 Corinthians 15 gives the description of these glories. (The place where Gods throne resides is separate, but also defined as Heaven. It is already organized.) In addition, the one place reserved for Satan and those that follow him will be created, if it has not already. This is referred to as outer darkness. It is also referred to as hell in both the Book of Mormon and the Bible. It is the lowest hell that David was delivered from in Psalms 86. 
 
Due to the confusion between the Heaven and Hell immediately following this life, and the separate Glories of Heaven and eternal Hell after the work of the earth is done, the church identifies the first as spirit paradise and spirit prison. We also believe that these same principles have been taught in each dispensation, including the time of Christ. We believe that this is the same confusion, coupled with the statement of Heaven used by Christ to also identify the throne of God, caused the ancient Christian church to redefine Heaven and Hell as we see them traditionally. 
 
(continued below)

(Due to technical difficulties the rest of my explanation will have to wait. If I can get it to work it will appear in a following comment)