After selecting Chinese, press the right Shift key. This will get you back into Chinese input mode.
This is a common issue faced by new users. The cause is that the Microsoft Chinese IMEs have two modes: English and Chinese. So even though you've switched to the Chinese language, you were still stuck in the English mode. To switch between the two modes, use the right Shift key.
Why are there two modes? Why doesn't the Chinese IME only allow you to type Chinese, and eliminate the possibility of confusion?
Because people living in China often need to type English text -- think of a scientist writing a paper in Chinese, with a lot of English terminology. Their Windows PCs ship with only Chinese installed -- not English. Thus, they need a way to type English text from within a Chinese IME.
There are other subtle differences in behavior. When you type English from a Chinese IME, the text remains in a Chinese font, such as SimSun. English characters in this font are designed to fit in with the surrounding Chinese character -- matching in weight, height, style, etc. If, instead, you were to type English from an English language context, then your program would switch to a font like Times New Roman, and your body text would no longer be in a consistent font.