If it doesn't, the mud's output will get spewed across the screen in a most ugly fashion. Your second option is to scout out the many fine client programs which exist for the sole purpose of providing a friendly and useful front end to MUDs. Telnet is a rather ugly way to connect to most muds, since it doesn't do any fancy text wrapping, and if someone says something while you're typing out a line, it will make a mess out of your line, making it hard to see what you're typing and hard to keep track of what's going on in the mud. A client program is simply another program you use instead of telnet to connect to a mud. Clients also provide useful things such as macros and the ability to gag or highlight certain mud output.
Clients are available for anonymous ftp from several sites.
Once you connect, find out what the deal is with respect to you getting a character. Some MUDs allow you to create your own, and others require you to send off for one via email. If you have to send off for one, send one e-mail request and cool your heels. MUDding will be around forever, no need to rush it. But let's say you've now gotten a character, and you're connected up, and things are starting to get interesting.