Immediately after you select your character you are thrown into Entry channel one or two. The screen you're looking at now is the lobby, where you can chat with people who are not in-game. Find a room to join, or enter game store or equipment screen. Most of that is pretty self-explanatory.
You can also add a player to your friends list here, simply by right clicking his/her name and choosing "Add friend", but if you don't see the red "Registered as friend" phrase, then click on the word "lobby" above the name list to get to the friends list, click it again to get to the clan list, and once more to return to the name list. Try adding again and it should work this time. You also have to be in the lobby in order to be invited into a clan, and on the lower right, you see symbols like L, G and P. L means that player is in the lobby, G means s/he is in a waiting room, and P means s/he is playing in a game.
Note that you can change channels by clicking "Channel" on the upper right, but you can only switch channels to the other Entry Channel or the Free Channels, and I wouldn't suggest that you go to the Free Channels as there are more pros there than you can count due to no level restriction. Also note that you can enter any private or clan channels, though new players don't normally go there.
While in the lobby, you can see that there are lots of things in the "boxes" that are the rooms. Take a look at that image I've put above. On the upper left side of that box, 012 is the room number, and below that is the number of people in the room and the capacity (7/8 means 7 people in the room, and the max number of people that can fit in there is 8 ). In that space in the middle, you'd see the room name (the default one is "How about playing a GUNZ game?", I think), and behind that is a picture of the map that indicates which map it is, which is Station in the example's case.
On the right side of that "box", you'd see a symbol. That symbol states the room type, which are either Deathmatch (a skull), Team Deathmatch (two skulls), Team Deathmatch + Extreme (several skulls), Gladiator (two swords), Team Gladiator (three swords), Assassination (an orange circle thing), Training (a muscly arm) or Quest (a book). The symbol of a key shows that the room is passworded, and if you see a small white arrow on the lower right of the symbol (regardless of the type), it means that the game has already begun.
There are nine types of rooms, and these are the explanation for each one:
There are four ways to enter a room: one is to double click on one of the "boxes" with the room names, the second is to left click on the box to select it and click "Join", the third is to create a room by clicking "Create", and the fourth is to click "Play Now!" (which throws you into a random non-full room).
Once you've done one of above, you'll be sent to the waiting room, which shows you the room details, such as what type it is, what map it's in, how many people as well as everyone who's in there. Just click "Enter" (if the game is ongoing) to enter the room, or "Ready" (if the game hasn't started) and wait for the room master to start the game.