Well they will probably move this thread to the new player help forums, but to answer your first question if you like melee/tank style classes I would suggest war is a good place to start. It's useful for almost everything, and is an easy class to play well. the subjob system you're used to from XI doesn't really apply here. For any given job there are other classes that you will have to level to get their skills for the job you want to play. Like for War you may want second wind so you're stuck leveling mnk to 15 or what ever level they is you get it at.

For your second question you only need one company, I'm not even sure if it's possible to change, but it surly wouldn't be worth it.

The dungeons are pretty much endgame content, they consist of one party and they have different challenges you face to get end game gear, or you can trade in for grand company seals.