Yeah this is one of those sword fighting ancient series. I hate that Wong Jing is the director though. He has a reputation for butchering the original story. Anyhow if it follows the novel or the tvb productions then technically Ady (An Yi Xuan) is the lead female since Hu Fei ends up with her at the end. But really she doesn't show up till near the end, Tvb's 99 version changed it and had Charmaine show up much earlier. Athena is Hu Fei's first love and but she decides to become a nun, and Gillian Chung also loves him but I don't think he loves her, think of her like the best friend role who follows him around and dies at the end. Fan Bing Bing's character is Ady's mom and she's isn't a good character.
But like I said, Wong Jing will probably change the story.