I started using Brinklink a few months ago and although I really like it the interface is terrible. I am looking for a specific feature but don't know if it's unsupported or just I cannot find it. How can i create my personal parts collection on Bricklink, something like a catalog of parts that I have. Other options I require would be adding parts from whole sets and adding bricks from my placed orders. If this cannot be done please suggest alternative websites or even desktop applications that can do this?
An alternative to using BrickLink for those purposes would be http://rebrickable.com. I personally find the interface to have some warts, but definitely better than BrickLink in a lot of ways. In particular to your requested features it does support importing parts from sets (Look for the "Add to my Parts (Part out set)" link on any set description page) as well as importing from Bricklink Orders in XML format and a few other sources. If your long term plans involve selling some of those parts on BrickLink it also supports a decent set of export options that can help out with that as well.
The easiest way to achieve what you want to is register as a seller. You don't have to sell anything (you could keep your store open but empty, or you could just keep your store closed).
Once you have a seller account you can manage two stockrooms: A and B. If you do have some sets/parts you are planning to sell and want to have an active store, you can keep those items in stockroom A, and you can keep your own personal collection in stockroom B, which is invisible to buyers, even if your shop is open.
This way you can easily manage your collection, automatically keep track of how much it is worth, and also, if you decide to sell, all you have to do is move the items from stockroom B to stockroom A, open your shop and you are done. ;)