For those who haven't heard of it, it's basically a retro-clone of the rules cyclopedia - the pdf is free to download.

Now, then, can anyone who has played it explain to me exactly how immortality works? It's pretty much a completely different set of rules to the normal 1st to 36th level mortal progression. That's all fine and dandy, but the general idea is to take your mortal character and become an immortal (if you want to, of course). What happens to your mortal character? Do you tear it up and simply follow the experience progression for immortals? I can't see anywhere how you make the transformation.

For example, it says a 1st level immortal has 15 hit dice (75 hit points) gives an attack bonus etc. Do your hits suddenly go down when you become immortal? If not, how the hell do the rules for immortals mesh with your previous character progression?

It's been a long - long while.  But I seem to remember your regular character became your Immortal's avatar or something to that effect.  So you had like a normal here on earth character and then your new immortal character for dealing on the immortal plain.

The short answer is, D&D Immortals rules are unbelievably fucked up.

Still lots of fun though.

RPGPundit

Well, the Rules Cyclopedia (the primary source from which Dark Dungeons is derived), for all its epic glory, just doesn't have room to spare on the topic.  The next source to deal with this topic in detail is Wrath of the Immortals (ISBN 1-56076-412-0).  Aaron Allston is credited as designer.

Page 50 of the two-book set (one for rules, the other is a campaign) informs the reader that once a mortal has completed their Path for Immortality, they have a year to walk the world as a mortal to wrap up their business.  Then their sponsor will get them alone some time after that and tell them it is time to go.  The newborn immortal chooses what happens to their body (I love that the writer's first suggestions is to disintegrate it).  They can also leave behind a corpse for burial, worship, etc.  Either way, the mortal form is toast and can't ever get back in that body.

You recreate your character as a level 1 Immortal.

Enjoy the rest of your life

Yup, a 1st level Immortal may have less HP than they did as a mortal.

You keep your old ability scores, experience points (/10,000 to give a Power Point total) and I think General Skills, but by the rules lose all your old class abilities, even. In Wrath, its suggested characters may want to choose Immortal special abilities from the ability lists that replicate prior class abilities, though.

An Immortal (under the Wrath rules) can create a "Mortal Identity" if they need to pretend to be mortal for some reason; they could use that to recreate themselves as they were, if they like e.g. to pretend they didn't ascend.