How did people learn in Defending Your Life?

This is really a theological question.

Albert Brooks is known to be a fairly cerebral auteur and he was almost certainly drawing on the Eastern concept of reincarnation in general. Under this system, the concept of karma is at play. [I feel it's important to point out that Western concepts of "instant karma", that is to say that repercussions for good or bad actions manifesting in a single lifetime is a purely modern, folk concept. In the traditional understanding, karmic repercussions for good or bad actions manifest in future lives.] The idea is that if your lived a life that was more good than bad, you will reincarnate into a better situation in your next life, although the reverse is also true. I don't recall this being explicitly stated in the film, but the absence of detail does not necessarily imply randomness. That said, it is sort of funny if it were purely random.

The emphasis on fear as an anchor, weighing one down is more of a modern concept. You can find it in places like Star Wars [see Yoda on fear] and Dune ["Fear is the mind-killer".] I suspect Brooks is commenting that fear keep us from living fully actualized lives, and thus conquering it is of paramount importance.

Again, Brooks is quite highly regarded and the ambiguity regarding specific theological principles at play in this film is certainly intended. He's not trying to provide answers to the great unanswerable questions, merely make suggestions while providing thoughtful entertainment.