Yeah, Miwako thought he was a knight at first, too! But Sanji-sama said, "No, I'm a pirate!" So cool~!
And ah- A Host Club is like... Women designate different handsome and charming guys - hosts - to flirt with them, do magic tricks, sing karaoke, pour them drinks, light their cigarettes, etcetera, and just basically have a sweet, romantic night with good company. Just a place where handsome men charm women~ The fact of the matter is, though, that they're kind of seedy - at least where I'm from. There's a king here - King of the Host Club! - who is a rich little bon-bon, who started a host club at his high school, because his papa is the principal. He and his friend Gregory were in it together, and are now starting it up here and looking to recruit new hosts. Gregory said that this is not a host club for "vulgar commoners," though, so I think it's really swanky and high-end! I think Sanji-sama would make an excellent host, and so he's decided to join~ So Miwako will be attending as a customer, to support him!
[ As a side-note, there is no such person named Gregory in the host club - particularly as a founding member. The mysterious "Gregory" is actually one Hitachiin Kaoru; due to a lapse in memory and excess excitement when talking to Tamaki about the host club, Miwako forgot Kaoru's name, and so gave him a new one. But she's still the only one who knows who "Gregory" is... ]