Yeah, orthotics are very uncomfortable at first. You really have to wean into them - just wear them for an hour the first day, more the seond, etc. Don't run in them until you have worn them for extended periods. Not only is this break in period necessary for comfort, but the orthotic also changes your gait so you will be using different muscles in new ways. That is a really easy recipe for injury if you switch into the orthotics too fast.
And yes, the orthotics are meant to give you an arch. Without an arch (or with a very low one), your foot collapses in and you pronate too much. That is very hard on the knees and ankles. The orthotics will straighten you out and give you the correct alignment.
They are not an exact science, however. I got mine several months ago and they didn't help. After learning more about it all, I realized that mine do not give me enough arch support so I am going to get them adjusted so they work right.
Good luck to you.