If you're still in the tutorial mode at the start of the game (in the room, searching for the necklace), then you need to follow the onscreen instructions for movement, initially.
You can switch between first and third person by pressing the R button on your keyboard.
In first person you can move around by press-holding your left mouse button.
In third person (for the tutorial) you move with the keyboard & mouse.
Once you're playing the main game out of tutorial, you can play third person using mouse only, if that's what you prefer, and you don't need to do anything to set this up other than by switching to this mode with your R key.