Well...got Skyrim for my birthday from sister. Probably put in at least 6 hours in the last two days. I still feel kind of lost and like I don't know what I'm doing.
If you've never played Elder Scrolls, here's my 2¢.
1)
Decide how you want to kill/defend against bad guys. While there are no "classes," deciding on a basic class gameplan isn't a bad idea. Your very most basic choices are defense, melee offense, and ranged offense. For defense you have heavy armor, light armor, hiding (through spell or sneaking), spell armor, shields, healing yourself, and conjuring meat shield monsters to occupy your enemies. For melee offense you have single handed weapons, two handed weapons, bare fists, single hand/shield, two handed, and conjuring monsters to fight for you. For ranged you have archery, spells that damage, and conjuring monsters for you. For a beginner, choose a defense, melee, and ranged, and stick with it. Sometimes, a couple of these might have synergies where you can choose several defenses or offenses. Also, the more you use you skills, the better you'll get - so stick with them so you get better (think of it like football offense - be good at one or two things - not all of them. Although with time you probably could in this game). And make sure when you level up, select perks that highlight the skills you are using.
I currently have two characters 1) Mage - Heavy emphasis on destruction, armor smithing, heavy armor, and conjuration magic. Summons monster to fight enemies while bombarding them with long range spells. Preferably spells that the summons are immune to. Creates and wears heavy armor for the occasional time when an enemy gets up close. 2) Assassin - Heavy emphasis on single handed weapons, sneaking, marksman, and alchemy. Enemies rarely even see this guy before he slits their throats. Sneaks up on everyone and kills them in a shot or two. Uses damaging and slowing poisons and invisibility potions for troublesome enemies.
2)
Gamestyle. Some people like the giant sand box of the game world and will wander around and never even do the main quests. These people tend to enjoy exploring, collecting loot, and seeing how game mechanics effects their character development. Others get frustrated with the lack of direction. These people want a path to follow and feel like the game is just dumping them in the middle of nowhere. Sounds like this might be you, so you'll want to check the quest log first. There you can find any quests you've received. You can also highlight/unhighlight these quests. As you do this, you will receive a map marker on you main map telling you your next destination regarding your active quest. The main quest is already initiated from the prologue, so you will be able to dive right into the main quest. Otherwise, just talk to bartenders, leaders, and people generally in the largest buildings in each town. They'll give you additional quests.
Wow, I'm a geek...
Edit: If you have specific questions/want help/are stuck, I know the game pretty well, so fire away.