OK. I know this is gonna sound pathetic, but I'm stuck in the first dungeon. Thieves, Bears, and Bats keep defeating me. Any tips to get past them?

what are you trying to play as? race/class

what is normally killing you?

what weapon/armour are you using?

http://s6.photobucket.com/albums/y217/Jormungandr83/?action=view¤t=Privateer_Commentary.flv.

Pick your battles. Don't fight critters without loot. Use the back stairs to avoid the skeleton.

There's a great walkthrough all over the Internet for that first dungeon written by Khatti. It gets you through Privateer's Hold if you need help.

It comes a walkthrough of the first dungeon with the game aswell.

I am a Nord. My class is Bard.

Thieves, Bats, and Bears.

I am using a Short Sword.

I recommend you to watch this video so that you don't have to create a new character when your to weak later on.

http://www.youtube.com/watch?v=c30kq0n0T5w

OK. I'm strong enough to deal with the enemies now, but now I have another problem. Picking up stuff. I click on piles of treasure and defeated enemies, but nothing comes up. What do I do? Also, how do I climb? And what do I do once I get out of the starting dungeon?

Try crawling and then clicking on the treasure.
To climb, just go towards a wall and keep on walking It doesnt work on every wall though.

If you finish the starter dungeon, go explore some cities, like daggerfall itself and talk to citizens for jobs or join a guild.

Alright. Thanks. I should probably level up before doing the Main Quest anyway.

How do I buy stuff in Daggerfall? Everytime I talk to a Merchant, they only have a sell option. I need more weapons.

To buy stuff, you click on the shelves. That's where you get the 'buy' option

OK. Thanks.

I didn't know that. Pretty smart move.

The Privateer's Hold walkthrough that comes with the game is actually an advertisemant for The Daggerfall Chronicles, the big book of everything for Daggerfall. It has three well-taken, labelled screenshots of the dungeon as well as a text walkthrough, and it describes both ways for getting out.

Also, Ganon, if you go upstairs in some stores, you can occasionally find more shelves, so if you can't find what you're looking for downstairs, I'd suggest going up, up, and away! Minus the away.