For those that are new to the pastime, here's a quick overview of the concept of roleplaying, or "RP" as it is sometimes abbreviated.
As the name may suggest, roleplaying is the process of building a character, acting and reacting as that character would in any given situation, and guiding that character's growth over time. This is similar to acting out a role in a play (or film, if you're so lucky), except that there is rarely a script; you'll have to ad-lib just about everything. While it may seem intimidating, all it really takes is practice, determination, and (probably most importantly) a good character concept. Don't worry about being perfect with your first character, just try your best; the other players will probably forgive a few minor slips.
Remember that although this game is meant to be fun, other people much like yourself are also playing it. Situations that are intense, terrifying, or saddening are acceptable and even encouraged (our theme is rather dark, after all), but if the only reason you cause such situations is to annoy other people, abuse the rules, or power-trip, both other players and the Eternals of Terrinor are likely to view your actions in a rather dim light. There is a difference between playing a carefully developed character who happens to be a murderous sociopath and killing other player characters for your own personal kicks; don't assume that others can't see that distinction.
As to the nuts and bolts of how to roleplay a character, it's often best to start with a basic concept, then flesh it out as needed. You can have just as much fun with a character you thought up in five minutes on the subway as one you've developed for hours; the idea is to pretend to be someone else, not to win a Pulitzer. Think about how your character would act in certain situations, how they normally dress, what they like to eat. Develop their hobbies, their habits, and their quirks.
Try to stay away from grand designs and ambitions; it's the little things that make characters fun and believable.
See also: roleplaying tips, anachronisms, characters, OOC, IC