A role playing game is an entertainment where a player assumes a role. The idea is that the player chooses actions for his character that reflect a particular kind of person. A dungeon master creates a world that the player's character might interact with. In a nutshell, games of this kind are about telling stories.
Immortals is about creating characters of mythic proportions. An immortals character is, perhaps, the reflection of an element, say 'wind' or perhaps the physical representation of an idea or notion, such as 'memories'. It may be that they are some other kind of thing which does not fit either of these categories or both of them. But, they share some basic properties.
In the normal course of events, the player of an immortal character has a title that they are trying to acquire, perhaps 'the Lord of the Dancing Blade'. The title connotes the kinds of things what special abilities that they might have.
A Lord of the Dancing Blade is likely to be very skilled at dancing, and perhaps other kinds of performance skill like acrobatics. We might reason that they are good with weapons that are bladed as well. It may be that as they develop their special abilities, their skills increase to reflect supernatural prowess. Perhaps this immortal might develop a means to turn blades.
A few characters start play as immortals. Most, however, start out mortal and who have to discover a method of indefinitely extending their life, and they become undying. They are considered immortals when they they can pass this extended life on to others.