G'day Stone warrior
Though I am newish to this myself I would suggest that a fighter / rogue build would be the best first up build to explore undermountain. About 20 skill points in 'use magic device' will allow you to cast all the spells from scrolls which is a great way to try out all the various spells and what works best for you in a given situation.
Give your fighter plenty of strength too because it affects your 'attack bonus' which needs to be high on the lower levels.
Enjoy yourself and hope to see you down there
