One of the commenter's on my last post asked me to be a bit more descriptive about pen and paper (p+p) RPG's. I originally put this as part of the last post, but because it's rather large i decided to turn it into a separate one.
So here's a quick explanation of p+p RPGs. They start by (after getting a group of players, and one person to play as the "Dungeon Master" (DM)) creating your character(s if needed). This is done by making choices, and/or rolling dice to determine things about your character (race, statistics/attributes, class, and skills etc. are all examples (starting equipment might be, but it might also be predetermined by your other choices)).
After everyone has created their characters they set about playing the game! The DM will describe the surroundings and guide the players through a story, which can take place over one session or multiple session (typically called a campaign).
During a session the group (of players) will encounter various problems, and will have to use their skills (either as individuals or as a group) to overcome them, or make decisions about what to do. For instance, they might be attacked by hostile enemies, so they could decide to attack back and kill/incapacitate the attackers, or try and get some sort of negotiation going, both of which could impact later on in the session (or campaign). Sessions are also a way of gaining money (to be used as seen fit/needed) and equipment to use to make the character more powerful.
The group generally gains experience through out the session and when they reach a certain threshold will "level up" (meaning they gain more powerful in some way, such as an increase in stats/attributes or in skills). This means they can face harder challenges/enemies, until eventually they can take on the "big bad end boss/guy" (though the DM may decide to do this earlier or later as needed (or desired))