I'm no expert on this matter, but from what I recall of similar threads...
1. See how it goes if you follow the MQ for a bit. Take the note from Seyda Neen to Balmora. Meet Caius. Take
his advice. That's a great place to start...
2. Or, spend enough time in Seyda Neen to cut your teeth in. There's a lot to see and do. My first time the bandit cave was SCARY... but so invigorating.
3. I've had successful charcters that don't leave Balmora proper until after level 20. There's sooooo much more to the game than combat....
4. Save save save. Often. Not quicksave, new slot save. It keeps the file clean, and makes for less painful restarts when, say, the cave rats get you... Nothin worse than a corupted save.
BTW - what mods do you have? Assuming... MGE? MPP? MCP? Better heads/bodies/clothes? Some of these bug-fixing & texture pack mods really make the place feel like home.