When the game is started up, hit esc and set up the controls to your playstyle. Use the mouselook, and I'd recommend putting the run key as the caps lock so you can toggle the run. When doing the character creation questionare, get the ebony dagger. You don't have to kill everything in the first dungeon, just run past it if it gives you trouble. Save as soon as you start the game or you might lose your character right away to that darn imp!
Don't walk from place to place like you would in the new games, fast travel. An anchor/teleport spell will save you a lot of trouble.