You probably want a mostly fighter build to start, since it's the easiest to play, with a touch of magic or stealth to give you a few other options. An Imperial or Dunmer is most flexible, but a Nord, Orc, or Redguard will make a better fighter if you decide to stick pretty much to the basics. Birthsign of The Lady gives a rapid hitpoint advance which is hard to match, and also a bit of additional personality boost to tone down some of the local "hatred for the outlander", and is good for a "first time player". Agility as a Preferred Attribute will help hit things and block (blocking is automatic in MW, not player controlled), but isn't that big a deal to increase, so that's a matter of personal opinion. Luck is very slow to advance, and affects almost everything, so it may be the best bet for one of the two slots.
Take at least one weapon skill as a Major, and if your race gives a bonus, use that weapon skill if possible. With a racial bonus and a Major skill boost to the starting value, you should be able to hit stuff fairly often despite the pathetic starting condition of the character. Most importantly, USE the weapon that you're skilled with, or it's going to be a frustrating beginning while you flail ineffectually at the strange local wildlife. Hold the attack button down until the weapon is fully "charged", otherwise you're just taking weak jabs and doing minimal damage with each swing.
One armor skill is highly recommended (pick one that suits your character concept), preferably as a Major, although you could probably get by with it as a Minor. I'd also suggest either Marksman or Destruction for a ranged attack (Mysticism can also be used at a distance to absorb an opponent's health). Beyond that, it's all a matter of what kind of character you want to play. There are going to be as many opinions about the "perfect build" as there are players, but it's not all that important. Morrowind allows you to take on the game at your own pace to a greater degee than most, so it's hard to make a "wrong" character as long as you cover the basics of attack and defense.