Sounds like more fun than WoW. The loosing EXP sounds like a challenge and I am up for that. I did buy a linkshell what ever the **** that is.
Yeah this game definitely punishes mistakes, which adds to the challenge and makes it more exciting (although at times rather frustrating). From what I've heard from WoW players, this game also takes a lot more time and effort to progress, so patience is a virtue. Also a lot more teamwork involved. From around Lv10 to Lv75 (the highest level) it's very likely that all the exp you gain will be in a party of 6 players. There are very few jobs that can effectively solo exp past ~Lv15.
As for a linkshell, it's like a chatroom. Once you've opened/named your linkshell you can use it to create linkpearls, and give them to people. Those people can then equip the pearl and talk to you on linkshell chat. (If you see colored pearls next to peoples' names that is their linkpearl.)
However, you probably won't have need for one as a starting player unless you have some friends playing the game as well. More than likely as you level up and start to do more events with other people and make friends in the game, you will eventually be invited to an existing linkshell. Around Lv50 it becomes absolutely vital to have a linkshell with some helpful people, because that's when you really start depending on other players to help you progress through the game. Before Lv40-50, linkshells will be more of a leisurely thing most likely, but after Lv50 and especially as you approach the 70's, your linkshell becomes your clan. Linkshells set up websites, plan large-scale endgame events, etc. Choosing a good linkshell later in the game is very important.