Women have an easier time finding a spouse, as they don’t have to worry about learning poems or getting on the father/brother’s good side. However, playing as a woman leads to more interesting games. Males tend to have an easier time in the game, as all the requirements to gain fiefs are low (only about 150 renown I believe).
When you click New Game, you are greeted with a couple options to start customizing your character.
Either one is fine, not like I can stop you. Since this is most likely your first time playing, you’ll want to hit New Game, unless you want to try out the Quick Battle stuff. You can also change certain functions to make the game easier or harder. Can be useful to practice without worrying about losing your troops in campaign. As soon as you launch the game, the main menu presents you with several options.