Petrell: It's a standalone mini adventure that came with the game. In that particular one you are tasked to solve problems dwarves and elves are having. Vormantown is the place you start and has shops of all kinds and one hirable companion (female gunslinger, 100 gc to hire). I only tested it briefly and died in first encounter in the elven lands (as dwarven melee fighter, was slain by putrid rat) so I don't know how hard the module is or what's best build. I did not find much use for conversation or thieving skills at least in Vormantown so you probably should start pure fighter or mage.
There are other official modules you can download: Buried Secrets, Deathmatch, Dusty Dunes, Hellgate, Time, Woodmir Race and The Lost Dungeon of Souls as well as number of fan made ones. The official one's you can download either from my site (links -> infinity engine -> scroll down near the end) or at Terra Arcanum (you'll find the fan made modules there as well).
I've only played thru The Lost Dungeon of Souls and that had quite ridiculously tough opponents. That one was bit diablo like as you had to comb a dungeon to rescue the people of the village you arrive in (all of them are shopkeepers, the village is empty at start). You'll get a dog (woman transformed into dog actually) companion. There is no use for conversation skills in that one (technological melee fighter is probably the best as you need the healing salves and fatique restorers you can make from all the plants in the starting map especially as there's no shops until you rescue the first villager).