Yes, there’s a LOT of material here. And we mean a LOT.
Don’t worry, you don’t need to read or memorise it all. It’s not that kind of game!
The “Introduction” book explains what all the components are. You can use that for reference.
The Rule Book contains, unsurprisingly, the core rules of the game. It may seem thick, but everything is clearly covered in full detail. You’ll want to read through this before you start to get an understanding of everything. You can then refer back to it as needed.
The appendices contain specific rules on specific subjects that only apply to those subjects. For your first game you’ll want Appendices one to five, plus nine and ten. The rest will be useful later. These books are designed to teach you as you go, the core rules will reference these where they are needed.
The Quest Books present a number of different Quests the GM can run for the Heroes. Only the GM should read this. The first two books (Search for the Shattered Amulet and Return of the Litchemaster) are ideal for new players. If you’re going to run a Quest, read through the booklet at least once before you start to get a good idea of what is going on.