You need to go to the forums and read about clans.
For AdventureQuest specifically, there are two different ways to join a clain. There are in-game clans and forum clans.
The in-game clan will display in the clan section "Clan" whenever someone sees your character's information. Currently, there are three clans: Aerodu, Geoto, and Nautica. These three clans are located in Paxia. To get there, click on the Travel Map, 'Sail East', 'Paxia', 'Visit Paxia', and you're there. Read the note that shows up carefully, then click 'Continue'. Explore the three clans, and choose one. When you've made your decision, you need to buy the armor for your chosen clan to show up on your character page.