The Terror Begins
Call of Cthulhu is not DnD
First off Call of Cthulhu (CoC) is a horror game. The game is meant to scare the players into fun. It is very common for the players characters (investigators) to go insane or be killed in action. Yes, this means it is very unlikely you will win. The goal of CoC is just to survive, oh and have fun.
Since you often cannot win, what does happen in the game? Investigators are normal people just like you and me. In my CoC game, they will be set in the 1920’s, and will attempting to maintain their sanity against some of H.P. Lovecraft’s worst beasts.
Additional differences between the games are seen in the game mechanics. While there are some version of CoC which use the d20 (D&D like) rules, this campaign will be using he classic CoC rules. First thing, put the d20 down and pick up your percentile dice. All skill checks and attacks use percentiles. CoC does not provide levels for investigators, instead you are given a chance to increase your skill levels after you complete a session. Other changes will appear as you play.
If you are still interested in join in the fun/horror, it is time you learn about How to create a Investigator.