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In the Cypher System characters are created a bit differently than what you're used to from Dungeons and Dragons or Pathfinder systems. The basic idea is that every character is created following the formula:

I am an adjective noun that verb.

Here are some examples:

• I am a Strong Warrior that Defends the Weak.
• I am a Charming Explorer that Solves Mysteries.
• I am a Weird Speaker that Flies Faster than a Bullet.

When creating a character you will have to choose:

1. A Noun - This is the core of the character and defines its place in the world. It's called a Type and you need to choose from the list here: Character Classes
2. An Adjective - This is the flavor of the character and it impacts how you do things. It's called a Descriptor and you need to choose one from the list here: Descriptors
3. A Verb - Your unique "thing". It's called a Focus and you need to choose one from here Foci

Each of the above will give you: extra stats, new abilities and extra training in some skills. For more details on the rules, there is an official primer here.
So, to prepare for the game you need to:

1. Read the Introduction here: Premise 
2. Choose one Type from the list: Character Classes
3. Choose one Descriptor from the list: Descriptors
4. Choose one Focus from the list: Foci
5. Set your Attributes. Each one of the Character Classes has certain starting Might/Speed/Intellect. On top of this you will receive extra attributes from the Descriptors and sometimes from the Foci . In addition you also receive 6 points to distribute as you wish. For any questions (like the details of abilities) ask the DM.
6. Choose your Type Special Abilities. You need to pick 4 abilities from the list under your class here: Character Classes . For any questions (like the details of abilities) ask the DM.
7. Choose your Equipment.
8. Choose a starting character arc from Sample Character Arcs
9. Choose your link to the starting adventure. How did you get to be involved?