Let me be the first to say that the whole process is a bit more involved than it normally is on a site. Think of it as a challenge to be overcome, if that helps you at all.
First, joining a roleplay and creating a character technically go hand-in-hand. As in, you find a roleplay, you create a character for the roleplay, and then you submit the character for GM review, if the GM has that option turned on.
To find a roleplay, it really depends on whether you favor forum or chat. For forum, it's as easy as going to Interest Checks/Roleplayers Wanted (both sub-forums of Out of Character), finding an idea that suits your tastes and talents, and keeping a line of communication open with the game master so you can submit your character in a timely manner when the OOC goes up. For chat, it's somewhat more complicated, but it's all logical.
- Click the Roleplay tab at the top of the screen to browse a list of created roleplays, or look through Roleplayers Wanted, as those threads already have a working link to the RP's respective location. Sometimes you can find something interesting through the "Newest Roleplays" list at the top of the page. If the RP is to your tastes and the GM has an open slot or has agreed to let you in, you can proceed to character submission.
- In the Characters tab of the desired roleplay, click the Create a Character button.
- Create a character, using either the provided character sheet or some other form you favor. All that's required is a name that is not shared with any other character in that roleplay. Note that the name is the only thing that is set in stone on submission, so make sure you get it right!
- Click the Submit button at the bottom, confirm your submission, and you should get an automatically generated private message confirming your submission and containing a link to your character sheet.
You'll need to check back with the Game Master yourself to know if you have been accepted. If the game does not require GM approval as noted on the top-right corner, you're immediately good to go!
As for your last question, joining an RP in progress is admittedly a tricky business. You'd have to read the story so far and get insight from the existing players about the situation so far and what sort of character would fit the world and their current needs, all of this requiring a fair amount of legwork on your part. Once you're up to speed and the GM thinks you can handle it, you can proceed to submit a character as before. Be ready to hit the ground running.