I'll freely admit that when I originally began to study Islam, and even now, all the talk of the different sects and the theological reasoning behind why different sects believe in specific doctrines to be confusing and especially given I'm still 'new' to Islam.
I have to go against Fouad's statement. It is mandatory that you follow a Madhhab. Without following one of the madhhabs you are a lone sheep.
While the Prophet was alive, all the people followed his Madhhab, while Abu Bakr was the Khalifah all the people followed his Madhhab etc.
When the rulers who followed the Rightly Guided Khalifas came to power they separated the scholars from the state. Having done that, a number of prominent scholars of that time took it upon themselves to explain that Islam wasn't as the government was presenting it.
You must follow a madhhab because you and I are in no position to comment or interpret the teachings of Islam. We do not have even the slightest amount of knowledge.
You see, in order to understand the Qur'an, we need the hadith and in order to understand the hadith we need the interpretations/explanations of the Sahaba and in order to understand what the Sahaba have said is to look at the teachings of their students, ie. the Tabieen (the generation after the Sahaba who were the students of the Sahaba).
And as it happens the scholars have used 5 major sources/steps in sourcing out a ruling or Islamic law. They are arranged in order of most importance:
1. The Quraan
The Quraan was the first source of law and its passages
were accepted unanimously as being authentic. However, there were
some differences of opinion in interpretation of some of its passages.
2. The Sunnah
Hadeeths of the Prophet (s.w.) were next in importance.
However, scholars for their acceptance and application set various
conditions.
3. Opinion of the Sahaabah
The opinion of the Sahaabah either as a group or
individually was considered the third most important source of law.
This source was divided into two parts according to the positions
taken by the Sahaabah.
(a) If they were united on an opinion it was referred to as
Ijmaa.
(b) If they had different opinions on a single issue,
4. Qiyaas
Ijtihaad based on evidence found either in the Quraan, the
Sunnah or Ijmaa was next in order of importance. The method of
reasoning used was a form of analogical deduction called Qiyaas. An
example of Qiyaas is the prohibition of marijuana based on the
Prophets statement: Every intoxicant is Khamr and every form of
Khamr is Haraam.124 Since Marijuana has as intoxicating effect it
can be classified as Khamr and thus Haraam (prohibited).
5. Istihsaan (Legal Preference)
This principle involves the preference of an opinion based on
a circumstantial need over an opinion based on Qiyaas. This
principle, referred to by various names, scholars of most schools of
thought used (e.g. Istislaah). An application of Istihsaan is seen in
the treatment of a contract for the manufacture and salw of as item.
According to Qiyaas, based on the Prophets statement, Whoever
sells food should not do so until he has in his own possession,125
contracts of this type are invalid, since the item is nonexistent at the
time of the contract. However, since such contracts have been
universally accepted by people and the need for such contracts is
obvious, the ruling by Qiyaas was dropped and the contracts were
allowed, based on the principle of preference (Istihsaan).
6. Urf (Custom)
Local customs were accepted as a source of law in a given
region as long as they did not contradict any of the principles of
Islamic law; for example local marriage customs concerning dowry
payment. The dowry (Mahr) according to Islamic law, must be
agreed upon as part of the marriage contract but it has no set time to
be paid. It is the custom of Egyptians as well as others that a portion
of it called the Muqaddam must be paid before the marriage
ceremony while the reminder called the Muakhkhar is only required
to be paid in the case of death or divorce, according to whichever
occurs first.
Taken from the book of Bilal Philips 'Evolution of Fiqh'.
I do advise you to follow a madhhab, all scholars are in agreement that for one to be a Muslim he must follow the Qur'an and Sunnah.