I just got to the point of choosing a faction. I don’t seem to be able to select a prophecy yet. Do I just play the game and finish all of the story quests? I don’t know what monoliths are or what the keys I have found get used for.
To start, you advance CoF just by playing the game. XPs you get will give you favour which will also give you reputation. When you reach act 9, you will be able to access the observatory, where you can spend the favour (which will also give you reputation) for prophecies.
Monoliths are an endgame system after the campaign. You can access it sooner, once you reach the end of time, but if it’s your first playthrough I would just keep playing the campaign.
Keys are for dungeons, which are another endgame activity. For now, just store them.
So, in short, don’t worry about it too much. For now just keep playing the game. You’ll be able to gather some favour and when you reach act 9 and the observatory you’ll be able ot spend it.
I will also note that, if you really want, you can ask the chat for someone to give you a lift to the observatory directly, but I would advise against it. This being your first playthrough, I’d say that you should just continue playing the game normally. You won’t lose anything that way.
After you join faction kill stuff.