http://www.uesp.net/wiki/Morrowind:Morrowind_for_Oblivion_Players - even if you haven't played Oblivion , this is helpful to see how the Morrowind gameplay works.
http://www.uesp.net/wiki/Morrowind:Starting_out - some minor spoilers, handy to read after you've played for a few days but find yourself struggling.
You can only use weapons
successfully if they are at least starting at a 35-40 skill level. Only use weapons you are skilled with or you'll never hit anything. Same with the different schools of Magic, different types of Armor, and most other Skills (like Armorer or Speechcraft)
Remember this when creating your Character.
Steal everything that is out of sight and not nailed down. Then sell it to somebody who didn't own it. If you can have a nice bankroll early on it will help you a little bit.
NOT this... unless you plan on never getting caught for any other crime (meaning that you
never get a Bounty and questioned by a Guard.)
In Morrowind, if you steal one item, every item with the same ID is flagged as stolen. (Guards confiscate stolen items if your Bounty is high and they chase you down)
example: if you steal a silver fork, then all silver forks you ever have will be stolen property. Not a big deal for something minor like a fork, but it can make a huge difference if you steal some good weapon/armor.
Also be careful to never steal anything that is owned by someone in the same Faction/Guild/Great House as you. Often, it is not easy to tell which Faction/House an NPC belongs to unless you've played the game for a long time and can understand the clues from Dialog with them.
As a beginner who doesn't know when it's safe to steal, I suggest you only steal when you
really need the money, or
really want the item... but money is rather easy to acquire in Morrowind.
EDIT: Don't just save often, also keep more than one save file. If you mess one up by ruining a quest or losing an item, you can rely on the other save file.