When you advance you will be asked to pick a stat as well. Until level 50, every time you advance a normal level, you will be asked to pick a stat to focus on. Keep in mind what you need for your choosen guild when picking what stat to concentrate on.
Every level you advance your player, you will be given one open guild level. What this means is that you will be able to advance in your guild once for every player level you have advanced, providing you have the exp and gold to do so. For example if I have advanced my player to level 4, I would be able to join fighters and advance to level 4.
There is a room to the south of the Adventurer Guild that has an exit for all 5 of the alpha guilds. Decide which guild you want to join and use that exit. Once you are there, 'talk to leader'. This will present you with a menu similiar to what you used to advance your levels previosly. When you advance you will gain some stat points, and typically you will gain a skill or spell as well. Please note that not _every_ guild level gives you a skill or a spell.