I want to play a test of the game using the "you can play" free rules but...

The free rules download from the main page is very fun and interesting, so much so that I wanted to play a test game with some friends. However, we couldn’t find anywhere in the book that explained how to make characters even though the download supposedly let us play the game. Are we doing it wrong?

The rules for burning characters are found in the main book only (as far as I know). Try downloading The Sword and using the premade characters.

You can download many premade characters from the wiki.
http://www.burningwheel.org/wiki/index.php?title=Downloads#Scenarios_and_Demos

-L