Hello!
I've tried to play TES I: Arena and TES II: Daggerfall but i just can't get into them
I'm sad because i don't want to miss the Lore, i don't know if i should start with TES III: Morrowind, it's like jumping in into the middle of the TES universe :/

Anyone who is experienced in the Elder Scrolls Lore can give me some advice on this?
Like, what are the main things i miss if i don't play the first two TES game?
Should i play TES at all if i start with the third game?

I started with Morrowind and I don't think it damaged my ability to appreciate the Elder Scrolls Universe. You can find plenty of lore at http://www.imperial-library.info/ and the http://www.uesp.net/wiki/Lore:Main_Page of the Wiki. My answer is "Yes!"

I'd say most people probably started with Morrowind, so you're really not missing much of anything. See, that's the nice thing about the Elder Scrolls series, it's like other fantasy settings enough that you can just jump in and feel comfortable and have a sense that you know vaguely what is going on, while there's also a ton of lore driving the universe and everything going on in it that makes it vastly different than other fantasy settings.

As Pseron Wyrd said, the Imperial Library and UESP are great places to find out just about all the information available in TES. I'd recommend just throwing yourself into Morrowind and if you have questions or want to know more about specific things as you go along, look them up. TES is a very welcoming series. I've never completed Arena or Daggerfall but I'm still pretty knowledgeable when it comes to lore, even lore from those two games.

Velorien and Pseron Wyrd are absolutely right. I started with Morrowind and I consider myself quite the lore buff. If you just cannot get into Arena or Daggerfall then why not read their storylines over at the http://www.imperial-library.info/content/tes-games-storyline section of the Imperial Library.

Elder Scrolls is a very open series. In the sense of you could jump in at any game, and enjoy it. Then if you want to delve deeper into the lore a lot of it is available in the game itself via http://www.imperial-library.info/content/tes-games-storyline And if it's not you can use that link to read all the in-game books over at the Imperial Library.

Another note: You will certainly have a lot of fun in any of the games but once you do get into the lore, the main quests become far more interesting than you first thought.

And of course if you have any questions that need answering there are the forums here.

Thank You all!
I will start my journey with Morrowind and read the Lore too

Wonderful! My last bit of advice to you is this:

I'm using spoiler tags because it spoils the beginning of a minor quest in Balmora. It will help you out a lot though during your journey.
If you don't want it spoiled let me just advise you to go to Ralen Hlaalo's house in Balmora. Make sure to have a scroll of Ondushi's unhinging with you because his door is locked. (or have a decent security skill) then after you have entered his house and looked around read the spoiler

Morrowind is probably the only game with both decent lore and approachable gameplay, so I'd start there

I started with Oblivion. And had no problem picking up the lore. So OP, I don't think you'll get confused with starting in the middle.

Oblivion has tons of lore. Some of it overlapping with Morrowind and lots of new stuff.