The game is huge and there are too many people playing at one time, so they made different servers. Think about it as running on a different computer, or in game it is like a different version of the same world. It’s just so there aren’t so many people on the same server slowing the thing down so much. Sorry can’t think of an easier way to explain it.
The game has a storyline and a final boss and such, but even after you beat the final boss, there are still many quests and such to do and the game is continually being updated with more monsters and more quests.
As for a party: You can have 6 people in a party. Two parties of 6 can also form an alliance, and thus have 12 people.