Khan Online uses 2 sorts of points to upgrade your character, ki points and experience points. Both kinds of points can be gotten by killing monsters. You use Ki points to increase your characters stats (manually) and experience points (xp) are used to level up your character. (automatic.) When you gain a level, you gain an increase in your hitpoints and mana points. The more ki points you've used to increase your stats in CON and INT, the bigger the increase will be when you level up.
Some players like to do what is called the LEVEL DOWN TRICK. They kill themselves just before they gain enough experience to gain a level. Whenever you die, you lose experience points, but not ki points. It is theoretically possible to be at at level 10 and have really high stats in CON and INT. When this super powered CON/INT player reaches level 11. bam!! He gains a whole lot more HP and MP than a player who didn't do the level down trick. At level 50 or so, a player who keeps on levelling down can have the HP and MP of level 100 players.
Form or join a guild as soon as you're able. You and your guild mates can team up and help each other level up and find items quickly. It's best if you have a balanced guild to ensure that each member's skills can complement each other.