***Warning, A Long Detailed Wall Of Text In-Coming***
Embershard mine, that's how. Follow Hadvar into the Main Keep for your first time in the main quest. When you leave, immediately go to the three stones. Choose the stone that suits you, if this is your first time, Mage stone is the best even though destruction magic is mediocre, because you need to raise your Restoration powers up. Go to the blacksmith's house (Alvor? I think that's his name), politely accept his supplies that he grants you, sell excess weapons and armor to either Alvor the blacksmith or Lucan Valerus at the general good's store. Rather than follow the main quest immediately, go to Embershard Mine, it's inbetween the Three magical stones (Dragonstones?) and Riverwood. Kill all the bandits inside Embershard Mine, maybe mine some iron ores and grow your smithing skill. Inside Embershard mine, the most important thing you will find there is a small treasure room guarded by one bandit.
At first most weapons you find there will be iron, but the treasure actually levels with you. One thing that is important to get this early in the game is the Clairvoyance spell, which helps you find important routes you need to take in order to follow the main objectives in your journal. This spell is an important spell and although you don't need it, it WILL be a great help to you for a few aggravating quests. Embershard Mine is also important because the bandits stay easy to fight throughout the whole game, but will always have at least one treasure room, the one with the clairvoyance tome, with leveled equipment you can use or sell at your leisure. (There are two additional important chests to be found as well, but I've found the most important one to be the very first treasure room in EMbershard mine).
After clearing Embershard Mine, return to Riverwood, if you haven't talk to the Wood Elf named Faendal. He is a skilled archer and a teacher. If you plan to be a rogue or warrior, archery is very important. Archery will be important period if you have Dawnguard loaded in your data files. Try to train in archery with Faendal as much as you can, and then complete his quest by giving the fake note to Camilla so she dumps Sven. Faendal is now your friend and will be your defender if you take him on quests with you. Tell Lucan Valerius and Camilla that you will return their Golden Claw, and head off to the Bleak Falls Barrow, preferably before making it to White Run. (But not necessarily).
Complete Bleak Fall's Barrow, return to Riverwood, give Lucan his claw back and you now have a love interest with Camilla. (Purely optional). If you want to play the game more like a Warrior or Rogue character, you could return to the Dragon Stones if you want through fast travel and then choose to go to White Run, with all the loot you are using or have sold at Riverwood, you might be able to afford one handed weapon's skill training with Amren, a Red Guard former mercenary who wanders the streets of White Run. Or you might afford to buy weapons/armor from the Adrienne, the Red Guard Smith at the Entrance of White Run.
You can either continue through the main quest at this point or you can head to the wagon ride near the Stables of White Run and head off to Markarth. Stop the murder attempt when you enter Markarth, but don't read the letter or follow Eltry to the Shrine of Talos yet. Speak to Margret to receive expensive jewelry for saving her life. Now, with hopefully improved weapons and armor and a medium or kind of high Restoration skill level, with perks spent in Restoration, make your way up the road, take the right bridge at the cross roads and up north, somewhat along the road, you might run into Forsworn tribesmen who, truth be told, might have fancy weapons at this point in the game for you. Or not, they might still be worth selling to Merchants for a lot of gold. Off the the path of the road, to the North East of Markarth, up a large hill you will find one of the most important benefits to any player of Skyrim, the Lover's Stone. It grants fifteen percent extra experience for ever skill, not just 25 percent to Mage, or 25 percent to Rogue, or 25 percent to Warrior. . . 15 percent to every single skill is a lot of power. Simple Math states that it's actually granting you 20 percent higher advantage by spreading your skills out. Don't worry though, if you're worried about becoming a jack of all trades and master of none, you can fast travel to both the original three Dragon Stones and the Lover's Stone at your leisure. At this point, make sure to put one Smithing perk into Steel.
If you have Skyrim, Legendary Edition, you should head off on a wagon ride to Riften (I'll explain why in just a little bit). In the Riften docks/fishery area you will find an Argonian woman named From Deepest Fathoms. She will grant you a Lexicon, take it. Then head off to Avensheft(?) the Dwemer Ruins. Complete the Quest and you now have access to a very powerful passive ability. Ancient Knowledge. Make sure to put one point in Dwarven Smithing, even if you don't want to wear Dwarven Armor. Ancient Knowledge makes Dwarven Armor 25 percent more protective AND, grants 15 percent faster experience in Smithing as long as your wear Dwarven Armor, so even if you don't want to wear Heavy Armor, you only need the Armor for the faster smithing experience.
It's important to note that should you choose the Warrior Dragon Stone at this point or before reaching Riften, that you have a 40 percent bonus to smithing. This will come in handy VERY advantageously. If you can find items with grant any bonus to Smithing at all below 16 percent, disenchant them at an Arcane Enchanter. Then put on the Smithing Fortifying Enchantment on every piece of extra equipment you can afford. Go ahead and make the best weapons and armor you can put together at the moment, strengthen your weapons and armor at grinding stones and benches, and sell whatever weapons and armor you feel like selling. This should rake in a lot of cash, especially since not only are your weapons and armor extremely powerful, but Dwarven items like armor and heavy weapons are very expensive just by themselves in the early game.
When you've made so much money that you sweat melted gold and spit silver saliva, you are more free to bounce between all four Dragon Stones to maximize your power at earlier levels. Also, another reason to reach Riften Early is to speak with Maramal the Priest of Mara. If you buy an Amulet of Mara after speaking with him, you can marry a Spouse. Spouses grant 100 gold a day, each day you are away from a spouse, or even with them (Without talking to them about profits from their store), you are receiving an addition 100 gold profit, also, sleeping in the same house as your spouse grants "Lover's Comfort". It's the same bonus as the Lover's Stone, but Warrior Stone users, Mage Stone users and Rogue Stone users receive an additional 15 percent bonus with a Spouse.
If you plan on becoming a Werewolf for long term, or a Vampire/Vampire Lord for long term, you can receive the Lover's Comfort bonus just by using the Lover's Stone. Lastly, Legendary Edition Skyrim owners, once a skill has reached level 100, can be brought back down to 15, becoming "Legendary". What's so Legendary about a VERY crappy stat? Well, you can respend all of your perks, so it refunds all the Perks you've spent. This means that you can boost other Skills with all the perk points you've been building the Smithing Tree with. As long as you already have your awesome weapons and powerful armors, along with your Ancient Knowledge Bonus, Warrior Dragon Stone + Spouse, it will be very easy to rebuild the Smithing Tree, and thus raise in levels indefinitely.
See, originally the highest level in Skyrim you could get was 81, because you could only reach 100 in any skill, but resetting certain skills you don't need as much as you used to allows you to build characters with extremely high level caps. Way more than level 100 is the maximum level, I think it's something like 157, but I don't remember exactly how high you can go. Now, on that note, back to Embershard Mine, yes. Along with Embershard Mine, you can re visit any cleared area once a certain amount of in-game days have passed, open the same old treasure chests, and many will be leveled gear that you can just loot, use, disenchant or sell.