Hi there!

It's a lot easier than you think. To start Gladiator, you'll need to make a trip to Ul'dah and pay a visit to the Coliseum(the Gladiator's guild). Seeing as how you're a Marauder, I'm betting that you call Limsa Lominsa home, and you can get a feel for what it involves unlocking additional classes by visiting the various guilds there, such as the Arcanists, or one of the several "trade" guilds there such as Fisherman or Armorer/Blacksmith.

All that said, the fastest way to Ul'dah for you as far as I know(bit of a newbie myself :P) is to conduct the story quests offered at the Adventurer's guild. That will land you an Airship pass and let you explore the other cities.

There's a difference between classes and jobs - classes require no soul crystal and can borrow skills from any other class, whereas jobs are more specifically tuned.

Hope this helps!