I played Mary in a road company and it was a great experience. I'm not sure what 'context' you want unless you've never heard any bible stories and don't know anything about Jesus and the disciples, etc.
Basically, Mary is someone who has had everyone else and the one guy she wants is someone she can never have. She knows he is something 'special' and that she really isn't on the radar but she loves him on a number of levels and probably because she's never had the experience of loving someone without the physical interaction, she isn't really sure what to do.
If you are singing 'I Don't Know how to Love Him' it plays best if you build the song. So you start out wistful and thoughtful and then build up to a more gut wrenching emotion of angst and longing.
Hope that helps.
"Life is a lesson in humility"