Easiest thing to do, click Communities up at the top, then click "All" right below "List of communities"

This will show you all of the communities from all of the federated lemmys (sorted by number of users), and allow you to subscribe to them and easily interact with them from your lemmy.world account. Once you subscribe to the ones you want, you can go back to the main lemmy.world home screen and click Subscribed, which will give you a list of posts from your subscribed communities, much like the Reddit home screen.

I have to create an account for each instance?

No, that's actually the beauty of it all.

Could someone explain the instances?

Imagine if now every subreddit would be located on its own server, not somewhere in a Reddit headquarters. So r/funny is now running on server with address my-server123.com and thus have address my-server123.com/r/funny. r/europe is now running on eu.gov and thus have address eu.gov/r/europe. etc. Good, but lets say I want to create a subreddit r/myFavoriteYoutuber but I don't have a server. No problem, I contact people at r/funny and they allow my subreddit to run on their server, so its address will be my-server123.com/r/myFavoriteYoutuber. The "my-server123.com" and "eu.gov" is what we'd call an instance.

I write some extended explanation after lunch :)