You don't! We've had successful canonblind players before. The mods have set up some setting info pages, and generally you can get by on your character learning stuff as you do.

I'd recommend skimming this one before apping, since it just describes the world and some of its big conflicts (demons are bad, magic attracts demons, etc) in broad strokes. If you end up getting into it, there's a really extensive fan wiki that chronicles like.... everything in the games, but that's definitely not necessary — just handy if you ever want to look something up.