When you reach lvl 10 you can pick up other classes by going to that classes guild and talking to the receptionist. Once you picked another class you can switch between your old class and the new one simply by equipping the weapon that class uses.
So to become a WAR your start out by leveling your MAR. Once you can travel to the other cities you go to the GLD guild and pick up that class. Then you just got to level your MAR class to lvl30 and your GLD class to lvl15. It all happens with the same character.