Just as a note, except for very out of the norm events *cough*Lightning*Cough* Most FF games operate within the vacuum, is what I was going to say, but then I remembered all the cross events and references that have been cropping up in a the wake of 10. Suffice to say you don't need to know the other games to know this one. There are some nods to other games, and a few cameos but they're far and few between for the most part. (Cid, Biggs, Wedge etc.)
You're right in that you'll create your character and choose your server when you log in for the first time.
As far as "how" to roleplay, that can be different depending on the person. I don't do much roleplay on the forums, but I do some coordination there to set up events that i'll then attend in game. But my bread and butter is simply in game interaction, using a series of emotes, the "/em" command, and /say to strike up conversation. I try to focus my efforts in networking at the moment, gathering together crafters, merchants and mercenaries whose skills i'll need as I move forward along my own story, and who I hope to help with theirs when the time comes.
On the topic of the website, take your time to get your feet under yourself. There is a lot to take in and it can be a bit daunting, but the reward is a better understanding of the world and people you'll be interacting with. Don't worry too much about learning as you go however, its something I think we all do with one or two aspects, for myself it was Limsa, i've never really cared for pirate folk, but coming to know them through the context of the story made me appreciate them more than I thought I would.
Hope that helps, again feel free to ask more questions.
okay my last question which world should i pick?