Firstly Congratulations and Welcome to the nutty amiga community noely02, I will give you a basic run down.
The great thing is with the amiga you dont need to load workbench (the OS) first to load games/programs/utilities etc, but they can also load from workbench if you desire to do so.
The basic Amiga 500 set up will load everything from the 3.5" floppy drive, games, operating system (Workbench) and ulitities.
The basic 500 also had no Hard drive (as you probably noticed) but can be added a number of ways, most common way is via the left side expansion door.
You will also need a 9-pin (2 button) mouse and 9-pin joystick to play games and use utilities, if you do not already have them.
The Bottom (trap door) expansion is commonly used for memory upgrades, but there are many amiga 500 "hacks" for different expandabily options.
The amiga disk format type is not compatible with any other system IIRC, and uses a standard 3.5" double density floppy disk, also called an 880 KB disk in Amiga terms.
Most amiga disks are in ADF form on the net these days and google is your friend here and hope this helps.