You got me curious, and I read a bit more, and found this on Wikipedia:

A rocket moving out of a gravity well does not actually need to attain escape velocity to escape, but could achieve the same result (escape) at any speed with a suitable mode of propulsion and sufficient propellant to provide the accelerating force on the object to escape. Escape velocity is only required to send a ballistic object on a trajectory that will allow the object to escape the gravity well of the mass M.

In lay terms, I guess this means that, unlike a cannon ball, which only gets one initial "push", a rocket is being "pushed" continually and thus doesn't need to worry about escape velocity.

Because of the atmosphere it is not useful and hardly possible to give an object near the surface of the Earth a speed of 11.2 km/s (40,320 km/h), as these speeds are too far in the hypersonic regime for most practical propulsion systems and would cause most objects to burn up due to aerodynamic heating or be torn apart by atmospheric drag. For an actual escape orbit a spacecraft is first placed in low Earth orbit (160–2,000 km) and then accelerated to the escape velocity at that altitude, which is a little less — about 10.9 km/s. The required change in speed, however, is far less because from a low Earth orbit the spacecraft already has a speed of approximately 8 km/s (28,800 km/h).

So first they get the rocket high enough to be safe from the air, and then they speed it up.