I have lots of tips but there is something to be said for the journey of discovery on your own. So I'll give these general guidelines: Don't try to do everything with a single character. Your Orc Warrior is optimized for melee combat, so focus primarily on that. Pick a type of melee weapon (blunt or blade, but not both) to focus on as your major attack type. There is plenty of variety within the weapon types to keep you interested.
The main reason is to preserve some replayability for later playthroughs. I do usually end up doing the first set of Mage's Guild quests even on non-mages to gain access to the use of the Arcane University, but not always. And in fact, the one and only character of mine so far who has completed the main quest didn't join any of the guilds.
There is no set of "must do" quests, other than those required to complete quest chains that you choose to undertake.
You can choose to completely skip the main quest, or dive right into it, or pace yourself with it while fitting in other quests and exploration. Completely up to you.
I suggest traveling by foot and doing some sightseeing early. It's good to get some map markers on your map and get the feel for the landscape. Plus it's a pretty world to run around in. if you do it early, the wildlife is a bit more manageable. Explore things or don't as you encounter them, that's up to you. Random dungeon diving is a good way to make some cash early on and pick up some equipment.
Keep a decent number of saved games and save often. Don't just depend on autosaves and quicksaves (they overwrite the previous one)