I downloaded it a couple of minutes ago and I have no idea what the [censored] it is. Can someone explain it to me?

You control a group of Dwarfs, and you task them to dig and gather materials to make a fortress for your ever growing dwarf civilization.

What about adventurer and legend or whatever?

Your adventure is the construction of your fortress. The legend is how long it lasts. The game takes an immense amount of time, and creating a self sustaining system for your Dwarfs is painfully long.

Adventure mode is a open-world roguelike RPG with civilization and settlement simulation. Legends is a summary of the world's history, depending on the world gen parameters it contains either everything or what you've discovered in adventurer and fortress mode.

I have no idea how to play it. to many keys and [censored].

http://dwarffortresswiki.org/. Especially the quick start guide.