If you have lost your job due to discrimination the obvious thing to do is to retain a lawyer... but before I do I'm curious how the legal process is played out. Do discrimination cases start in a local court or do you begin higher? I'm unsure how far this will all go.. and having done some research I realize these cases are very hard to prove.The fact that I'm from Illinois ( an at will state) doesn't help me any.:

You start with a local court.

From what I've seen (I'm an HR person) is that these cases get settled typically through arbitration as opposed to court. In most employment agreements in at will states you will see a section about settling suits outside of court through third party arbitration.