Once you have created your new character, you may enter the game.
When entering the game with a new created character, you will find yourself in the Tutorial zone. There will be an NPC which will provide you with some basic information and then sends you off to the first quest.
You can now choose to complete quests available in this Tutorial area or leave the area. You can leave the training area at all times, but please be aware that you cannot return after you have reached a certain level.
To leave the area you can speak to the Channeler which can be found in the first town inside the starting area.