Ohoh, this is a tough one..
Well first of all, you can play Roleplaying games in almost every scenary, imagined country world, from the classic adventuring like the DoD world, to scence fiction games. So its only your imagination that puts the limits to where and whom you want to be.
Well on to the how then..
usually you are a group of players where one is the gamemaster and the others are the players. The players are like actors without a manuscrit only there own characters limitation to hold them back. The gamesmaster is the eyes and ears of the group and tells everyone what is happening, what they see and so on. He/she also makes all the creatures and Npc´s come to life. A director of the playing so to speak. it is alot like free theatre..
In combat and in diffucult tasks you let the dice decidde if your character success to that task.
Adventures can be bought including maps, Npc´s desriptions and the story in it to. You can also create your own adventures to play.
You can always check out roleplaying on the net alots of pages with information, you can also visit
www.wizards.com for the DoD´s homesite. Check out links for example
www.fasa.com who makes a game called shadowrun.
Start to surf around and try to get into one of the webrings concerning roleplaying. Hopefully someone else can give you more links than I have.