In some character classes description, it is stated "... effectively gain the two weapon fighting feat for free" (in "weapon and armour proficiency"). Does it mean that the character gain it at first level? Isn't it overpowering the clases that would gain it for free?
First off, where'd you read this? It may depend on context, so if you can recall where you read it, that may help.
Secondly though, in Conan, all characters are allowed a greater leniancy with regard to using two weapons at once. In D&D 3.0 you needed the Feats 2Wpn Fighting and Ambidexterity just to have a prayer. In 3.5, the only feat you needed was 2Wpn Fighting because they effectively rewrote the feat to encapsulate all the aspects of Ambidexterity.
In Conan, everyone can use two weapons with virtually no penalty if one weapon is a light, single hand weapon. That includes an open fist, I might add. The way the norm in Conan works is that the penaltyy is only a -2 if you have a light or 1-handed weapon + a light weapon or a -6 if both weapons are 1-handed (like two longswords). With the feat Two-weapon Combat (or TWC or 2WC for short), these penalties drop to 0 and -4 respectively.
In Conan, Improved Two-weapon Combat (ITWC or I2WC) just grants more and more attacks.
First off, as Sutek pointed out, the TWF penalties are different in Conan.
- No TWF feat and off-hand weapon is one-handed: -6/-6
- No TWF feat and off-hand weapon is light: -2/-2
- TWF feat and off-hand weapon is one-handed: -4/-4
- TWF feat and off-hand weapon is light: -0/-0
Now, to answer your origional question: yes, many classes get the Two Weapon Fighting feat for free. This is listed in a strange place, under the class weapon and armor proficiencies. Those classes which are proficient with "two weapon combat" get the Two Weapon Fighting feat for free. Why did they put it under the weapon proficiencies? Who knows? I suspect at one time they may have been playing around with renaming the feat chain "Weapon Proficiency [two weapon combat]" but that is just a guess.
Now, as to you question "is this overpowering"? The answer is no, not really. Almost all the classes get TWF for free in Conan. IIRC the only ones who don't are the Scholar and the Thief (classes with less of an emphasis on combat). Since everybody gets it everybody is on equal footing, much the same way that everybody in Conan can Finesse without requiring a feat or Fight on the Run without requiring a feat. It simply means that, in this respect, Conan characters are more capable than basic dnd characters. If you are trying to mix Conan classes with classes from other sources then this becomes an issue, but in that case you already have a lot of re-balancing to do anyway.
What this means is that Conan characters are more versatile than you are used to. TWF is good for dealing with hordes of lightly-armored mooks, THF is good for dealing with single big foes. A character should change his style to fit his opponent and the Conan rules support this.