From Shaiya Wiki
Leveling is VERY important. You need to level up or else you don't get anything new.To Level-Up you need Experience. When you EXP Percent bar fills up to 100% you level-up.
What to Do
When you level-up you need to allocate your Stat Points. To do so you need to got to your stats page and click "Set Stat Points". After you set you stats you can also get new skills by going to you Skill Menu and choosing new skills to get or advance.