How to get stronger?

This is my First MH. Before i bought the i thought that the Game Had a Level Up system where i kill Monster and complete Quests, get Exp, Level Up, raise my stats... But there is No Pont in doing Quests If you cant get the needed Material for your weapon or am i wrong? I Upgraded my weapon at the beginning of the Game but i dont have the Feeling that i get any stronger. I Just killed Uth Duna btw.