I'm kind of surprised, MerricB won. We found that since events were happening almost every single turn(any turn you don't reveal a tile and every turn you don't reveal a tile with a white arrow...and as far as I can tell 90% of the tiles have black arrows), and the tiles were things like "TRAP: affects all players on this tile and all adjacent tiles. +7 vs AC for 3 damage, 1 damage on a miss"
You played not knowing the rules, on your first experience of the game, with someone doing a very bad job of explaining the rules and you're surprised you lost?

I played the game four times last Saturday. We won the first two, lost the second two. Luck has a part to play, but so does skill. (The group changed each time, so skill didn't have much of a chance to increase).
Slain monsters are placed into a communal XP pile. Although it occasionally gets used to level someone up, far more often you use it to cancel the really nasty Encounter cards. Part of the skill at playing the game is knowing when to do this. If everyone is on a tile that is about to get hit by a trap, cancel the trap! (You're experienced enough not to trigger it... or to hide, etc.)
Most of the encounter cards, however, tend to hit only one character - the character whose turn it is.
To level up, you needed to roll a 20 on a d20 when attacking, then spend 5 XP. This only happened a few times. (You can also draw a treasure card that allows you to gain a level).
I found the rules exceedingly clear. The one problem in them is that the set-up rules don't list "take 2 healing surges"; it's buried later in the book.
Cheers!