Well, my recommendation is for you to use any of the beginner friendly classes like the Royality (it has a MP regeneration item right from the start and a spell which is pretty invaluable at the beginning of the game) or the Hunter, since it starts with a Short Bow, good for sniping from afar and avoid melee confrontations.

Since you're going "blind" in the game, I suggest you take some time to read these following wikias: http://demonssouls.wikidot.com/home and http://www.atlus.com/mediawiki/index.php/Tendency. 

Get to know well some basic concepts like Parry, World Tendency, who are the NPCs that sell you things, the ones that you need to rescue in the worlds, how the worlds are divided and how do you progress in the game stat wise. 

Trust me, it will do you well to know before hand. Plus, if any specific doubt arises, you can always ask here. I haven't been on Demon's Souls since January when I platinumed it, but I still remember quite a lot from it. 

I borrowed it from a friend yesterday and I must say that it is even better than I expected...

Exactly my opinion when I first tried it about a year ago. Let us know you find it.

Its really fun and I enjoy playing it, I imagined it harder though... I nearly always get to my lost souls... but I am still on the first playthrough and I often heard it gets really hard in new game+, if I would rate it out of 100 it would get probably something around 87-89, because sometimes the AI is really bad, otherwise it would be 92...

Nice to see you trying out Demon's Souls Stefl

What class did you pick? You're correct about the game picking up the difficulty on New Game+, especially if you go to it under-developed, stat and equipment wise.  

I did pick the thief... but I can't see a real difference in the classes except for the beginning... are there any special skills for every class or aren't there?

Nope. You start off different, but you can become anything you want. There are some minor differences between being male / female, though. Some equipment can only be equipped by men, and vice versa.

Yeah... I noticed that... I was quite disappointed to only find womens equipment in the first level so I started over with a woman...

Like Routsounmanman, there's no difference beyond the initial equipment/stats distribution.

It all boils down on how you want to play the game from the start. Thief is a nice pick, since you have both Ranged and Melee abilities 

So, this weekend just started Demon's Souls all over again to re-Plat it. I picked a Thief this time, having a much easier time than my Mage. My White Bow +3 and my recently built Blueblood Sword rule all.

PS: I've failed to kill old King Doran ~10 times, though. Boy, he's a toughie (I killed him with Poison+Death Cloud last time >_>)