So just the other day I bought the elder scrolls skyrim and I've just started the game, and I'm just on my way to join the Imperial Legion but this whiterun gaurd keeps stopping me, so I either have to fight him or go to jail, but I cant go to jail because I have no lockpicks left and I never seem to be able to kill him. Is this just because I svck? ( im only level 2)

You probably commited a crime and he wants to arrest you. Either pay the fine or serve your time in jail.
Or reload an earlier save and don't commit a crime.

What quest was active at that time if any?

Best thing to do is get enough money to pay the fine.

If you are level 2 then you wont lose much at all by going to jail.
When you go to jail, your progress towards one or more skill advancements will be reset to zero.
Because you are a low level, it would take a minute or two to gain what you lost.

Just pay the fine. If you don't have enough money, go to jail and sleep to serve your sentence