SPOILERS OBVIOUSLY!
Health and lamp oil pickups are scarce, but I trust you can find them. Not included in this walkthrough.
First level: Beach
Grab the lantern. Turn right and head along the beach until you find a metal grate blocking your way. Swing round and head towards water. Around the corner on your left there is a ledge. Swim along it until you find steps you can ascend. Grab the wooden bat. Destroy the metal grate blocking the tunnel. Use the lantern or Rogue's low-light vision to find the metal grate blocking the other end of the tunnel. Break it and head along the narrow ledge on the left to meet the Kapitan. Kill him and grab the shovel. Head back the way you came and go to the narrow tunnel next to where you picked up the lantern. Dig yourself an exit.
Second level: Forest
Head out and along the muddy path. At the first intersection you can go straight to find a locked wooden door. You can try to break it down with the bat, or you can try and find the key. Go back and take the other direction from the intersection. At the next turn, go left to meet the Overseer who holds the key. Unlock the wooden door to pick up the primary weapon and a shield, if playing a Fighter. Go back to the turning where you first headed towards the Overseer. Go the other way and you'll come across a field amongst trees where a Red Orb is located. Kill all zombies in that field and pick up the Orb. Find a little path heading away from the field. At the end of the path there is a pedestal to place the Orb on. A narrow path will rise. Keep the light on and traverse it carefully. Enter the castle.
Third level: Castle
Enter the boss fight floor. The Mad Magus tries to fireball you or throw you depending on how far or close you are. If the throw fails (you back away fast enough) he teleports elsewhere on the floor. There are caged prisoners in cells along three walls surrounding the fight area. You can try breaking the jails open or get the Magus to fireball and destory them. Zombies will escape and try to kill the Magus as well. KILL THE MAD MAGUS.