Here you can pick to name your character and go through the character creation part.
There's also other things you can do in the game. There's shrines that if you know the virtue and keyword for it, you can be awarded a quest. I probably would not be able to without a walkthrough. This game doesn't take notes so you have to either remember it all or write it down. I'd say write it. If you're misbehaving, the guards can go after you. You can pay a bribe, try (and usually fail) to fight them, or go to jail. You have some keys, so you could try to break out, or sometimes wait for a guy to come along and sell you keys so you can break out. You can even hire a horse, get a boat and sail off, recruit some other characters, and things like that. It's a very big game with a lot to do.