Hi Dennis-
The main concept of RPG's is that you are building/growing a fantasy character inside a fantasy world.
Most RPG's have some form of recognition of this growth, most commonly "levels"- so as you play and do more in the game, you're character grows from one level to the next. Example: a level 5 character will almost always be much weaker than a level 10 character.
In Oblivion, character levels are based on skills exercised. What character class you choose simply decides which skills will count towards progression in leveling... so you'll want to choose a character type that will best match the way you will be playing.
As a starter in RPG's, you might find it easiest to pick a warrior-style class. Warriors choose heavy armor skills, blade skills, athletics and shield-blocking skills in order to progress levels. The more you work these, the more counts towards growing to your next character level.
So in essence, your character class is just the careful selection of dozens of skills what several actually "count" towards progression. If you have blade and armor and block skills as your class choices, if you exercise and progress sneak, archery, picking locks and such- you wont level at all no matter how good you become at these.
Warriors are easiest to get your feet-wet, so to speak. Since with a warrior, you just slash and absorb damage with your armor and shield. If you picked, say a wizard, you'll have to run around and avoid being hit and switch while casting spells from a distance.. as well as learn spells to help with getting hit/reflecting damage. Rangers with bow-and-arrows are the same deal, where you'll have to get very good at the game to run around and avoid being hit directly.
You can make as many characters as you like and there is no real limit I know of. I have like 4-5 characters, so just be sure to save them under different save-slots. You might want to try a warrior to start as battle/combat and skilling-up a warrior is likely the easiest for someone new to RPG's. Combat just involves pulling out your sword and beating up while being beat up.. pretty simple. Later as you get more comfortable, perhaps a rogue, thief, assasin, ranger, wizard or other class might be fun for you. You can also make your own custom classes that are any combination of the above.
Lastly, restoring health or magic spent just requires time. As it's a one-player game, you can just select to advance time (T key to "wait") and get it all back in a hurry if you are somewhere safe. In other RPG's, you have to just sit there and wait.. and wait.. and wait.. or find potions to replenish these. Oblivion has potions and spells too for restoring things, but these are usually only for curing disease/poison or if you need it badly in the middle of a fight where you cant exactly just go take a nap/rest. hehe.