Walking is so slow in it compared to Oblivion and Skyrim ( what it seems to be ), I've just got the game to try it out and I really can't get into it.

I like it. How big would the island appear to be if you could walk across it in two game hours or so?

http://www.uesp.net/wiki/Morrowind:Pemenie_and_the_Boots_of_Blinding_Speed

Very simple quest with an amazing reward. To use them effectively you will need a resist magic effect on you, if you play as a Breton as indicated in your sig this shouldn't be a problem, otherwise you will need some other means, such as making a resist magic 100% for 2 seconds spell and casting it while you put on the boots.

Also, if you're playing on PC, press the Caps Lock to toggle between Run/Walk.
Running is a bit faster, but uses up Fatigue.

Just in case you were Walking everywhere by accident

When you first start out, yes, it's very frustrating how slowly you move. I have some advice for people frustrated about movement, however - good news!

While you *start out* moving slower than in Oblivion, Morrowind allows you to increase your character movement to a much higher level, eventually, than Oblivion. There are many things which affect your speed:

• Run/Walk Toggle
  
• Jumping - you move slightly faster when you jump
  
• Character Attributes: Speed and Strength
  
• Character Skills: Athletics and Acrobatics

Using potions, spells, and enchanted items, you can increase your attributes and skills. Someone above mentioned one artifact which is helpful in that regard. Morrowind will actually allow you to attain absolutely ridiculous speeds - you can run 80-100mph with enough enhancement, and with a good strong "Jump" spell, you can jump 1/2 way across the island in one jump that takes about 10 seconds, if you really want to. You don't need to take it to those extremes, though, to alleviate the movement problems.

Also, as your character develops, and you get some athletics and acrobatics skill increases, you *will* get faster. You won't actually notice getting faster due to "natural" skill/attribute increases, until at some point you realize, "wow, I'm going a lot faster than I used to". The "natural" increases, where you get one skill point at a time, or 1-3 attribute points create small incremental increases which are hard to see by themselves, but eventually add up to useful and noticeable increases.

Use a shortblade on everything to raise your speed or you could visit a trainer.

OR just make a stealth based character with speed as a favored attribute.. accompanied with the steed birthsign.. you're basically speedy gonzales once you're done speaking with Socucius Ergalla.

Addendum: You notice how much slower you go when you suddenly decrease your athletics and speed attributes (i.e. make a new character.) I ran around on my wood elf who had 100 speed and 80 or so athletics for a while before I finally started my current Dark Elf with 50 speed and 10 athletics. It's absolutely horrible.