Dark Law, unlike many RPGs, does not have a single linear path along which the player is forced. It's scenario-based: each scenario is a short quest which the player can complete to advance the story and build up experience. In practice the order of the scenarios doesn't allow that much variation, but it's still freer than the average offering.
When you select "Start from the beginning" on the "New game" menu, you'll be presented with a pretty standard character creation system (name each character and then assign their stats). After this section, the game begins with the scenario Beginning of Destiny.
You can create between one and four characters, of which any three can be in your party at one time. At certain points in the game you'll temporarily receive an extra member, allowing a maximum party size of four. The "default" names are based on their hair colours (Red, Yellow, Blue, Green). When building your party, bear in mind that while men are stronger, women learn faster - men need more experience to gain each level.
The centre of the game is the town, which is menu-driven. Most scenarios are begun by talking to the various characters you'll meet there. You will want to take time between scenarios to heal, upgrade your equipment, level up, and so on, so it's worth getting to know the place when you first arrive.
To level up and hunt for items you can always head to the Sealed Cave/Sealed Labyrinth, which is the game's main dungeon. The monsters rapidly get tougher as you head in, so caution is advised. When you reach the point at which you can take All Things, be sure to take the time to complete the Sealed Labyrinth: the equipment you'll find in there will be invaluable in the final battle.