I would start my experience by exploring the near by villages, towns and cities looking around for a few side quests to bulid up my skills and earn some money to buy some good gear before i continue the main quest

:facepalm: FFS ANOTHER ONE OF THESE

My first character, playing Dead is Dead, will be an old imperial scout (preset #9 I think) that will make his way to Falkreath where he has kin. He will mostly just try to survive in the harsh, dense forests of Skyrim, killing wolves, skeletons, hunting caribou. If he doesnt die, he will retire after reaching around level 5.

There is no tutorial in Skyrim. They just throw you out there.

it's funny because your avatar matches your statement......

anyway to answer the question; I would walk in the direction that interests me the most.

There will be a chance of a tutorial quest so new comers to the series will know how to play like they did with oblivion. At the beginning of Skyrim you are being lead to your execution so the tutorial quest will be you escaping.

i will walk to the nearest town and present myself to the local authorities, apologizing for my accidental escape.

what do ya think i'll do? find the nearest cool-looking-ruin-thingy and plunder it of course!