Alright, so here's the thing.

I just got Skyrim and I have absolutely no idea what to do. I've mostly just done the mainquest, and I'm up to the bit where you travel to Kynsgrove with Delphine. I play an all-round Khajit guy, with some basic spells, and Ancient Nord Bow and an Ancient Nord Greatsword of Cold, and I have no idea what to do. Like, what other sidequests are there at this stage? Any good tips for helping me level? How do I join the Thieves Guild and Dark Brotherhood? etc etc

Thanks if you can help

Ask around, talk to people, ask innkeepers for rumors, and you soon will have more quests in your journal than you wanted. Look at this first playthrough more as a trial-and-error thing, you can always start a new character when you've got the hang of it.

For the Thieves Guild, just go to Riften.
For the Dark Brotherhood, follow up on a rumor about a boy in Windhelm.

Do whatever you want to do. No matter when you get there, Delphine will be waiting on you. Go explore or seek out your guilds.

In fact, make that [censored] wait! Hopefully it rains and snows on her non stop.

I turned off all essential flags once. I also used mods for increased spawns. Suffice to say, it wasn't the best idea I've ever had. I couldn't get Delphine to Kynesgrove no matter how hard I tried, we were always attacked along the way and my character was too low level to protect her. I won't lie, it was fun to watch her get steamrolled by a Storm Atronach time and time again, but the MQ was done for.

Inns are a good place to pick up bounty quests for the holds, you get the quest there then return to the Jarl's steward to get your reward.

As stated just talking to people will net you a lot of quests.

Also note that a lot of quests are level specific, you might talk to Mjoll in Riften at a low level and get no quest but come back later and find out she has something she needs for you to do. **Hint**

So inns, stewards, NPC's, you'll get hit with a lot just walking into Riften. And the guilds of course, the Companions in Whiterun, College of Winterhold, Bards College in Solitude.

Also some items; Books and even miscellaneous items have a quest attached when you find them.

There's no need to sweat it out, if you follow what we've outlined the quests will find you rather than vice versa