Welcome to the world of world coin collectors!
There has been a topic on how to identify proof coins on the forum before:
https://en.numista.com/forum/topic6717.html
As for coin grades, there is a Numisdoc with explanation and illustrations:
https://en.numista.com/numisdoc/coin-grades-58.html
And how to start building a collection; well, we had a discussion on that on the forum as well:
https://en.numista.com/forum/topic18542.html and
https://en.numista.com/forum/topic5894.html
When it comes to starting a collection, I would advise you to catalogue what you have, first. Then look if something special fascinates you, or if you have seen other coins that you would like to have while you were cataloguing.
I myself am a strong advocate of focusing on a region, period, theme, or whatever because there are too many world coins to collect them all. But other people think otherwise and collect what they can get. There is no right or wrong way, as long as you do what you like!
Success!