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How do I join this massive online thing? I get the options but once in the game, how do I get to free roam?

Don't do free roam. Do career, is what I did. You'll see everyone else, you can join races, make lobbies, etc.

(Recommend turning on ghost mode! There's literally thousands of other players.)

How?

Career can be found on the far left most option. The default is quick race. Just move to the left menu item to do career.