As an adventurer, your class is a designation that describes your profession, fighting style, and role within an adventuring party. A diverse mix of classes is essential to any powerful party of player characters.
You gain access to a class's ability set by putting levels into it. When you begin a new campaign at level 0, your character is Classless. Typically, you can choose your class the first time you level up by putting that 1 level into the class of your choice. Once you have chosen a class, it cannot be changed, but you may put levels towards additional classes once you meet the requirements for multiclassing. If you begin a campaign with an already-leveled character, you choose a class during character creation.
However, in some circumstances, you might want to wait and instead take Classless Levels to continue powering up your character before you make a decision. The GM might also restrict players from choosing classes until a certain point in the campaign, instead requiring you to level up as Classless until that point.