Hi!
You don't have to select your starting equipment randomly, unless that's what you wanted to do.
After that, you pick which realm you want to explore first. I recommend the Grim Coast included in the book. From there, read the opening pages of the realm. It will teach the realm's rules and anything you need to know. When you're ready to start, you start at Point 1 on the map, and are in exploration mode. You can move between connected points, completing actions, until you do a fight and go into combat mode. Do that again and again until you kill the rune lord!