All player characters have 21 skills (Alchemy, Alteration, Armory, etc.) You can see all those under the 2nd or 3rd tab from the left when you hit F2. When you create your character you either pick a class or specifiy a custom class. All stock classes have preset "Major skills," you pick your own when you do custom class. Thus, seven of those 21 skills are Major Skills. When you have gained a sum total of 10 advances in those Majors your character will be ready to level up. Sleep in a bed and you will as you wake up get the window for leveling.
In fact, the behind the scenes mechinations are way more complicated than that, but those are the basics of how leveling up works.
ADDIT: for a "Crusader" type, you should consider fighting in the Arena (in the Imp City), joining the Fighter's Guild (will need to travel to one of the other towns), or if you have Knights of the Nine (KOtN) listening to folks around the city to mention something about a recent event at "Anvil." Followup on that, excellent tip for a "Crusader" type.