Yeah I know I probably look like a noob for asking this but anyway, I was playing the game for a few hours and I found some heavy armour. I wanted to to wear but I couldn't, I'm soldier and I saw somewhere I can where it when I get training or something like that. So the question is where do I get the training?

When you level up, you need to place enough of the skill points that you get into the Medium Armor talent. One of the bonuses you eventually get is the ability to wear Heavy Armor.

solders are the most fun to play with. good choice