Whether you’re playing Pathfinder or Dungeons and Dragons or Shadowrun or Mutants and Masterminds or any other system, it all begins with making a character. Before setting out on any adventure, you’ll define the specific set of abilities, personality traits, historical prejudices and various other traits that will guide you through the world created for your arena of play. While it’s important at this point to make sure you build a character you’ll be happy with as the game proceeds, the main thing is focus on building a character you’ll be able to have fun playing.
As the game progresses, it’s normal for players to build attachments to their characters. Just as people build attachments to their favorite characters in a movie or TV show, it’s understandable to become invested in the actions and safety of these characters. On the extreme, this can result in players getting VERY emotionally involved in their characters, letting the connection bleed into the real world.
And that’s okay.