For the very first time, no, try it without mods. At least a bit. That way you'll know which things you'll want to change and what you want to keep from the vanilla game.

Thanks for replying!

To be honest, I did played a few minutes, and I didn't like the textures, heads and hair mostly, and the fact that I miss a lot with a weapon when I'm hitting an enemy... in the face

There is no 'miss' animation, so it does look wierd. But, if you have atleat 40 in the weapon you are using, and have decent agility ( 35+ ), you'll miss less often. Thats the main difference from the newer games. You WILL fail at tasks if the charachter isn't skilled at the task. If you can understand that and able to overcome that, then the game becomes easier.

Also, the failure is more if the fatigue is low.

No mods.
So you can see the game as it was created in 2002 as Bethesda finished it.
Some of the meshes and textures can be a bit outdated, but overall the vanilla game still looks pretty good. (The worst being your own face and body)

There are some community patches that fix thousands of problems (some minor some major) that you should check out even if you want to avoid mods themselves.
Details here: http://www.gamesas.com/topic/1305729-mod-recommendations-for-new-players/

That is how combat works. Success is based on dice-rolls.
In order to be successful in battle you need to know the mechanics of the game....
- Fatigue (your green bar) affects every action you attempt. You need fatigue to successfully attack/use spellls/bribe/lockpick/etc
- You need to use a weapon you're skilled with. You should make a Class that starts with a Major Skill weapon at least at 35-40 and use a weapon of that skill.
- Patience. Morrowind is very hard at the start. You need to go slow and pay attention.