Im playing Skyrim on the xbox and I'm around level 20. Im fairly new to this game and I'm wearing dwarven armor. I use the dawn blade and the elven blade of scorch. I don't know what I should be doing really besides the main quests. Im a werewolf as well as a member of the empires legion. You could say I'm overwhelmed by the enormity of it all. So to pose the question what should I know/do right now?

That's the beauty of Skyrim friend. You can do anything you want at whatever rate yoi want. I normally explore each hold and then move on, doing quests and such. Don't overwhelm yourself, take your time.

As for your equipment, I assume you mean 'Dawnbreaker'. Dwarven Armor is pretty good for a level 20ish.

Just take your time and explore.

What type of character are you rolling with?

Something I like to do is take the road and go wherever it leads. talking to NPCs in other holds, towns and settlements might reveal some nice quests

Adding a little RP, if you haven't already, may help. Give you character some personality and let your character help make the decisions. Maybe you're a pure warrior and your decisions on where to go and what to do are different than they would be as a Mage or thief.

There is no time limit. Just do what you do until you decide to do something else. As long as you're having fun, mission accomplished.