After you escape from the starter dungeon, you're left out in the cold, all on your own, with no direction or advice.

Where should I go and what should I do?

I'd say go to the UESP and read some of the FAQ guides to get an idea. Try finding other guides. I played it a bit and went to one of the closest villages to start finding quests and get a feel for the conversation mechanics. Its a daunting game so don't give up .

That's the most wonderful moment in Daggerfall!

Go to the nearest town and find something you can do. Figure out what's going on in the world. Start making a name for yourself. Have fun