Death Knights are typically former Knights who have turned to the Dark Side - or (former) apprentices of other Death Knights. Completely self-made Death Knights with no past as actual Knights or previous contact with other Death Knights is very rare.
Death Knights - as their name suggests - are the dark equivalents of Knights: spellcasting warriors who have their own rules and laws.
They use Arcane Magic.
Death Knights are a prestige closely related to Knights, in the sense that they have the same prequsites as Knights, with the exception that they have to be any Evil alignment or Chaotic Neutral.
Being a Death Knight comes with the bonuses of receiving all armour skills, an advanced skill of archery, and regardless of their alignment, they are good at Dark Magic.
In the video game adaptations of the FRPG, Death Knights have the exact same amount of hitpoints, spellpoints, base attack and defense values as their light counterparts, but they have a vastly different selection of spells, as all healing spells are replaced by curses and other spells of dark nature. In addition to that, they can learn spells from scrolls like Magicians, and unlike Knights, they are allowed to use ranged weapons.