How to design for a component that says "Electrical Design: DC PNP" in the datasheet?
L+ and L- are the power supply connections for the sensor. The datasheet shows this as being in the range 18 to 30V DC, so you'll have to provide that to the device.

From a brief skim through the user manual, I'd suggest the easiest way to interface this device to a microcontroller would be to configure it to provide a 0-10v voltage output rather than a 4-20mA current output (see the user manual section on configuring OUT2). The 4-20mA current output is a common instrumentation standard, but I don't think it would provide any advantage in your application (unless, for some reason, you need to detect the sensor being disconnected - with the current based interface, if you don't get at least 4mA of current being drawn, then you can assume the sensor is disconnected.)

A typical 8 bit microcontroller with analog to digital conversion will accept a voltage range somewhere between 0v and the controller's supply voltage (typically called Vcc or Vdd depending on the manufacturer's terminology.) If you're using a device with a Vcc of 5V then you just have to use a voltage divider (2 resistors in series - center tap to your controller analog input) to reduce the sensor's 0-10V output to the 0-5V required by the microcontroller.

As to what you should study to figure this stuff out, I can only suggest an electrical or electronic enngineering course, or start ploughing through some books in that area. Some of the books I've seen on Arduino controllers provide quite good introductory level stuff, but I'm not familiar enough to name any specific titles.