You have two “types” of level: character level and class level
Your class level is, as the name may imply, your level in any one class. So if you’ve chosen the Wizard class five times on level-up, you have a Wizard class level of 5.
Your character level is the sum total of your class levels. If, in addition to those five level-ups where you chose Wizard, you’d started as a Rogue and leveled-up as a Rogue once (Rogue class level 2), your character level is 7.
There are also Racial Hit Dice and Level Adjustment in 3.5; these count towards character level and are not class levels, but honestly there are very few cases where I can recommend taking either so I’m not going to spend any more time on them. The RHD/LA system was not the most well thought-out ones in the books.
So when you talk about “my level” what you really mean is your character level. This is what determines how much XP you need to level up next time, it determines your maximum rank in skills, it determines whether or not you are affected by spells like sleep, and so on.
Note that every time you level up, you gain a Hit Die; your number of Hit Dice is therefore equal to your character level (excepting LA which we’re not getting into here), so if you see something that needs x HD (like being immune to sleep), it means you need a character level of at least x.
When you multiclass, it means that instead of taking the next level of whatever class you were in, you instead take the first level in some other class. So back when you were character level 2, having started as a Rogue and leveled-up once, you could decide to take Wizard 1 instead of Rogue 3. This means that you have all the features of a Rogue 2 (Sneak Attack +1d6, Trapfinding, Evasion, etc.), and all of the class features of a Wizard 1 (some spells, a Familiar, Scribe Scroll, and a spellbook).
Your character level is still 3, which means, among other things, that you have 3 HD (two d6s from your Rogue levels and one d4 from your Wizard level), your maximum skill rank is 6 (3+HD), and you need 10,000 XP to level-up to character level 4.
If you continue to choose Wizard for four more additional levels, as above, you are a Rogue 2/Wizard 5 (character level 7), and still have the same class features of a Rogue 2, while having the class features of a Wizard 5 (more and higher-level spells, plus a Bonus Feat). Continuing to level Wizard means your Rogue features do not advance: you do not gain more Sneak Attack damage, Improved Evasion, and so on. This is why prestige classes like Arcane Trickster exist: they can advance both.