Im not religious However, its hard for me to understand the concept of the theory Is it just the milky way that appeared or what? And how would all the gases, such as carbon, nitrogen and oxygen form?
This is a BIG question. In simple terms, nothing 'appeared' per se. The big bang is just an early state of the universe, when there was nothing but pure energy. The energy was so concentrated in such a small space, that matter could not form (keep in mind that matter is just a specific type of energy, not something different from it).
As the universe expanded, the energy concentration diluted enough that matter could begin to form. This matter became , well, everything.
Don't think of the big bang as an explosion, don't think of it as a point in time, and don't think of it as something being created. It isn't any of that. It's really just an expansion of space, and it continues today.
It didn't happen because of a huge explosion, it happens because the universe is constantly expanding, but to where? There is no answer to that.