[@Spiritzer] I'm not the best source of information on how to make a character for this series. There's a lot of meta info that is tediously listed on the wiki. Basically the jest is pick a race/racial class: Humans, Elves, and Dwarves and the like for humanoid classes. Demi-humans have lizardmen, and such. And undead such as vampires, liches, and the like. A few more will be listed on the wiki this is off the top of my head. 

Then you pick a basic class such as warrior, barbarian, etc. 
http://overlordmaruyama.wikia.com/wiki/Job_Classes

That goes up to level 15 I think check the wiki once more for a better understanding. Following that depending on how a level the character is in game you can pick different sub-classes, and specializations. Some races can't do certain things according to lore/wiki. You can also sub-class into others such as a monk can be a wizard, or a warrior as well. For example Sebas is a Striker/Monk/Ki master. He's primarily geared around his fists. While Shaltear is a Cursed Caster, Valkyrie Lancer, and also a Cleric. Meaning shes a close range special caster. 

Of course Ainz's group is high leveled so they have a lot of subclasses. We probably won't all be as specialized if so our skill set will be spread thin.

Other than that weapons can be magical, or plain magical versions tend to be more power. Silver, and holy weapons are more powerful against undead for example. Human have less potent racial potential but more class potential for example. So its all in how you build your person.

I can try to explain it further but really there is no easy way to describe how to make a character.