Technically correct but confusing the matter.

To clarify there are technically 4 rail stations with the name of Atocha.

Two only serve line 1 (light blue) of the metro. Atocha lets you out across the street from the rail station next to the Reina Sofia museum. Atocha Renfe is the station that leaves you with connection to heavy rail.

Within the actual building there are technically two stations, one is for local commuter trains as well as a few limitied intercity lines. (I believe they are all diesels). And the main Puerta de Atocha station for conventional intercity and AVE lines.

As far as any tourist is concerned, you just need to get into the building and follow the signs for departures. Any visitor can effectively treat Metro's Atocha Renfe, Atocha Cercanías, and Puerta de Atocha as a single station. The AVE will leave from the first floor (second floor in the American system) and be sure to have a couple minutes for security. It's nowhere near as stringent as an airport, but it's not like other countries where you can run directly onto the platform and catch the door right before it leaves, either. All entry to platforms is controlled and all high speed trains and most other intercity trains are subject to a luggage xray.