As soon as you have downloaded the game and start it, you can choose the world you want to play on. You will automatically get a castle and the tutorial will start. We advise you not to skip it, as it cannot be played again.
In the tutorial you will learn everything you'll need to survive, from building to upgrading, recruiting to battling. When the tutorial is finished, it is up to you! It is a good idea to first get a feeling for the game and to upgrade your castle before starting to battle other Lords. You should join an alliance to get help and get insight from other players.