Hey there. First off you can do any of those, if you want. You can start off as a Squire (a person training to be a Knight) or you can start off as a full Knight. The information for starting as a full Knight can be found
here. Basically it mentions that you should be working on your required Knight skills each season until you meet them. If you do not work on them, you are not awarded your wage.
As the DS of Syliras I certainly don't have any problem with someone starting as a Syliran Knight, but I would say it's almost a requirement to read
this entire article. That article will tell you a lot that you'd need to know in properly understanding the Knights and what would be expected of you.
Now, as for gaining skills you can learn all about that
here. As you make threads, interact with people, go on adventures and quests, socialize, work at a trade, etc, you will turn your completed thread into a moderator for the area in which you completed it for grading. Upon grading, you can add the experience given for the skills utilized to your character sheet. Definitely read that article though for a more in depth explaination. Hope that helps!