Lalitha,
Unfortunity what you ran into is a thing that travel agents use to abuse caused hidden cities. They would have a passengar traveling just (say in your case) Milwaukee to Boston say at that fare was $400 round trip, but the fare Madison-Milwaukee to Boston is $300 round trip. They would book the fare out of Madison and have their client try to board out of Milwaukee, thus robbing the airline and defrauding the airline. Many airline computer systems will cancel your connecting flight (and down line flights) if you don't board the first flight cause in its logic you can't make the connection since you didn't board the first flight.
Hope that helps
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