There are really three types of knowledge in any role playing game:
- Player knowledge
- Character knowledge
- Game mechanics
I'll cover them in more detail below, including how to cope with not having that knowledge.
This is information that you, the player, should have, generally about the setting you are playing in, above and beyond what your character knows. In the short term, the best way to cope with not having information about the setting is to ask the GM. A lot. Ask if there anything that you as a player should know about any person, place, or thing you come across. You should get a pretty good feel for what is going on, and it'll let your GM know that he should give a few extra pieces of information, rather than assuming you already knew. Try not to be too annoying - if your GM (or other players) start sighing (or worse, crying softly into their hands) when you open your mouth, you might want to throttle the questions back a bit. Don't be shy, though. If everyone but you seems to know what they're doing, go ahead and ask for some help.
Also, skim the player's guide. Skip the parts about game mechanics for now, and focus on the basics of the world you're in. It shouldn't take long to read through, and will most likely give you a wealth of information. Some worlds have a huge amount of information, but that's why you should skim, rather than try to take it all in at once.
This is information that your character knows. Since you, as a player, don't know much about the world, it's hard for your character to know anything about it. Thus, the simplest choice is to make your character a blank slate. Amnesia is an easy out, as is growing up in a commune far from civilization or on a backwater planet no one has heard of. My preference is to add some flavor to the lack of knowledge. Perhaps your character has been in stasis for ages, and is long out of touch with technology, locations, and current events. That would give you the chance to say, "Hey, I recognize this space port - but in my day, it was a tenth this size, and most of those fields were nothing but rocks!" You (and your character) may not know about your location, but you could make up a few details about what the place used to look like, a hundred (or a thousand) years ago. Either way, that gives you an excuse to tag around with others and ask stupid questions to random people (players and NPCs alike), including "Can we hunt in town?" and "What, you pay for food before you eat it?" and "So, officer, is it called a tip or a bribe here?"
Another method is to ask the GM to feed you thoughts and memories your character would have, but that you as a player don't know about. For a little while, at least, your character's thoughts and memories will be controlled jointly by you and the GM. Eventually, you'll know enough to take full control.
Similarly, you could find an NPC (or another PC, for that matter) to follow around. Rather than the GM telling you your character's thoughts, he would have your guide tell you what's going on. This, too, can result in humorous situations, as you loudly ask your sidekick why the cops are looking at you funny, or why you're hiding from the scary looking men with big guns.
Game mechanics are simultaneously the most important and the least important part of a role playing game. On the one hand, they define the universe your character lives in, including how and when to roll dice, consult tables, or run screaming. On the other hand, rolling dice is really boring without the flavor of role playing.
For the most part, the GM will let you know when you need to roll, how many dice, how to read them, and so on. Player's guides will also cover game mechanics. If you want to rules-lawyer or make your character as dangerous as possible, you'll need a deep understanding of the rules, but otherwise a general understanding will get you a long way.