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Grand Rogue Auto is in a very stage of development, do not expect the game to be bug free or even balanced. Currently, there's no Save/Load Game options.
By clicking in the middle of the screen of using the main menu Game/New Game option, you will start a new game. You will be able to choose the city' size, the number used to dynamically build the city and the game mode. Default values are fine. The Start button will launch the game engine and generate a new world.
Once the city is built, a new window will open. It will allow you to allocate point to your various statistics and skills. Default values are not optimal. If you go the robber road, you'll want high perception, agility, lockpick and stealth values. A thug will favor endurance, perception and a weapon skill.
Values are between 1 and 20. Those values don't level-up but they can be temporarily altered by using some items.
Values are between 0 and 1000. You can train in most skills by practicing a related activity. Killing people with a gun will increase your Handgun skill. Some items may give skill boosting effects when used. As an example using lockpick tools will increase your Lockpick skill for a few turns.