If you're wondering what Klezmer music is - it's the traditional folk music from the Eastern European Jewish community, usually played in a group at weddings and celebrations (with lots of tunes for dancing). The music came out of ancient Hebrew melodies chanted during synagogue. This is what it sounds like:
So, how to play something like this yourself? There are some specific Klezmer modes (scales) around which the melodies are built. Here are a couple of the more common ones, the Freygish and the Misheberakh. Try playing through the scales as written, then improvising around the notes to create your own melody.
These scales were taken from Klezmer Fiddle, a how-to guide by Ilana Cravitz. If you would like to learn more, this book is full of information about Klezmer, the tips and techniques for playing Klezmer fiddle, and traditional tunes.