Right click the cave man to choose your gender, the overly-decorated lady to name your character, the man in the top to input a hearth secret and leave via the ladder (random spawn) or the stairs (spawning near the person of which you entered their hearth secret)
Be sure to collect the equipment from the chest to the left of your spawn point, this equipment will start you off nicely because it protects from leeches where it's equipped and the clogs protect you from thorns.
H.S found: Add info here