You go to the inn and create characters and add them to your party. When you leave, you should see a sequence with Gareth who gives you the main quest.

The saves are in the "save" subfolder of your installation directory.

When you are in town, click on icon of PC in lower left corner, it will bring up options screen. On that screen click on "reset adventures" - it will allow you to start really new game. It is important to click it when you want to start anew, because when you enter town, it will load an auto-save from your last visit to town.

Saves are kept in game folder, subfolder "save".