@malkav11 has the right of it.
To clarify on the random dungeons, there are two decks in your box that let you randomly create a scenario by daisy chaining 3 random “rooms” into each other, exploring them as you get to each door like normal.
The key is you can grab a few level 1 characters, set up their starting attack and skill decks, forgo even using a character sheet and while you can and should track XP and gold earned (to get used to the mechanics) and even go for a combat goal (to earn a checkmark or two) again to play the game like it will be played in earnest, you can afterwards simply NOT actually track anything. Just get a feel for the game that way, is kind of how I did it.
I recommend against doing any city or road events until you are playing for real, though.