Hello
I am sorry for your incomplete experience with the Game. It's actually fairly simple to proceed to the first level. When you first enter the castle go to the door to your left and open the doors with the button [E]. Then you will enter another room with two doors, the door to your left will have a big blue brick wall with a big lock, and the door on the right is open and there you find a small replica of the level and you just walk in it (like in Super Mario 64). Then you get to select your character with a click of the mouse, and then you will be transferred to the first level with the selected character. To complete all the levels you need to collect a certain amount of collectables (buckets filled with purple goo), and then a key will appear at a certain place which takes you to the next level.
I hope this helps : )