First of all, the fast travel. I've tried to do a few quests where they tell you to go kill something in a dungeon. When I travel to the location I'm in the middle of nowhere. I then go in all directions and can't find the entrance. Do they leave you far away or am I just missing it?

The first time I found the place I was supposed to go to I was looking for a Lycanthrope and couldn't find it. There were two entrances, both places were completely identical with three rooms and nothing but rats, bats and imps. I'm just wondering if maybe there was a secret door or something? Are they common? and how hard is it to see them. I remember in the tutorial it said they were all around the place.

Finally, I just got into my first proper dungeon. The only reason I managed to find it was because I saw a small hill in the distance with a small indent in it. Is this how you usually find them (just look around and hope you see something)? Anyway it's a mages guild quest to kill an atronach. I just leveled up in the dungeon to level three. Am I out of my depth? I've been in it for about an hour and all there was was skeletons and then suddenly a woman who wasn't affected by any of my weapons (steel and elven).

Any help appreciated.

When you travel to a dungeon the entrance will be somewhere in a 30 degree arc directly in front of you. Sometimes the entrances are obvious but a good portion of the time they are in those small hills.

If there are secret doors they can be seen on the dungeon map (click on the map icon).

At lvl 3 you are probably a bit out of your league. There are a number of non dungeon crawling quests you can do for the mages guild. (Guarding the Honored Mage is a good one). There are no repercussions if you refuse a quest.

Some enemies take mithral or better to hit. The Odd Blades, a weapon shop in Daggerfall city, has the latest/best weapons. However, I don't know what type they have at lvl 3, they might or might not have mithral.

If you saw a woman who won't die, that's probably your daedra. If you don't have any spells to cast at her, you need to go back to town and find a mithril weapon.

When you kill her, her clothes will fall off and she'll grow wings and you'll have to kill her again.

Thanks for the help.
I found a secret door in there today. They're not hard to see

If I go back the whole dungeon respawns, doesn't it? I've spent long enough already in there, I'm not doing it again. Also she kills me in two hits, so even if I had the right weapon I still wouldn't have a chance especially if I have to kill her twice. For future reference would a dwarven sword work because I got a dai-katana off a skeleton.

Daedra require mithril or better. Or magic. or your fists.

Dwarven is one notch below mithril, I believe, so no.

And, yeah, the whole dungeon respawns and your map clears if you leave and come back. I'd say skip town and make the guild think you died.

Eventually they'll send you on something easy, like to kill an imp, and you can start earning good enchanted items as rewards. I suggest joining a temple, too. I've killed so many impossible things, including two liches and a vampire ancient, with this one totem I got as a reward as a novice in the Akatosh Chantry. It finally crapped out on me today, after killing another lich.