To Christians, what religion was Jesus preaching about?

Jesus was born a Jew so why then do you claim to be a Christian? I read the scriptures and have not found anything from Jesus that he told you to select a religion. It seems like his goal was to liberate you from religion and to love everyone. By claiming to be a Christian, don't you segregate humanity even more by forming a opinion thats different than others and claiming that God choose you over all other religions? Don't you believe that other religions claim the same thing?