Where do you actually play? How do I create a character?

I'm missing a chunk here, some crucial concept.  I've tried to show interest in a few games, but then how do I actually join a game?  I feel like I have the instruction manual but the rest of the box is empty. * Is there an application I need to install?  A link I need to follow?

When you find a game you would like to join the GM sends you an invite link.  From there you *usually* make a character with the GM.  Alternately you can create a game for yourself, create a character within that game, then export it to the Character Vault. From there it can be imported into the GMs game if they have a paid account (or if you do).  Regarding an application, Roll20 is browser based, there is no application to install.