If this is really your first play-through, you might want to slow down and read what people say. There is very little hand-holding like in Oblivion, and people often tell you important info.
Unless you're playing on an 20-year-old computer, you should really increase your screen resolution, because holy-wow, you're menus are soooo tiny you cannot see anything.
Isn't http://img.jeuxvideo.fr/photo/00053226-photo-morrowind-un-exemple-de-dialogue.jpg and http://img216.imageshack.us/img216/1609/morrowindfullwn8.jpg much better than tiny little cramped boxes?
Using no mods your first time is good, so you get the feel for the original game, but the Code Patch is highly recommended to prevent Save game corruption. (all the fixes it has are optional)