I will think of something unsuitable character-wise later on, but
how does this work? it's a computer game and you can literally play any character you can imagine? in a MMORPG setting, I presume? how do they manage that?
Well...
http://livinginoblivion.wordpress.com/Basically, all possible skill sets are open to any character. So, really, you can dress up your squishy mage in full plate armour (so long as he can handle the weight) or give your thief a claymore, or have your knight levitate and blast people with fireballs. Or you can play an alchemist and avoid the main quest entirely.
You have certain key skills which, when you improve in them, you level up. But you improve the other skills through practice as well, meaning, with enough practice, you can play in pretty much any style you'd like. Also, as you increase your key skills, the attributes those skills are linked to (strength, intelligence, speed etc) can also be increased.
The games come with pre-set classes, but you can design your own, which is usually the better option.
(Note: this is all assuming they haven't totally reworked the class and skills system for Skyrim)