I'm currently writing a character, I've got everything right.
But, I can't write down the first sentence, this might sound like a ten years old child problem bit I simply can't get it right.

Anyway, without further delays, here's the character sheet as for now.

--------Character Sheet----------
Name: Volmund
Race: Nord
Gender: Male
Age: 34
Physical Appearance: Black hair color, Blue eyes, pale skin tone and average physical shape.
Birth Place: Bruma, Cyrodiil
Birth Date: Rain's Hand, 167 4E
Birthsign: The Mage
Family: Grew up in an orphanage in Bruma with his brother Volund.
Religion: Volmund got no interest in religion.
Specialization: Mage
Education: Taught himself to read and write.

Well thats the sheet for you, now i'm stuck at the "character story" part, no idea from where to begin.
Any suggestions ?

Depends on what roleplay you intend to get into, and what sort of character you want to create. The background is what makes him who he is, what he is, what hes learnt, how he'll react to certain things, everything.
One suggestion, maybe he's devoted himself to magic because his parents were mages before they died? You can basically form a story using what you've already made.

Yeah I completely forgot to mention his personality and deeds.
As the times were hard, Volmund didn't get much attention, so he taught himself to read and eventually the subject of Magic caught his interest.
He occasionally stole spell tomes and learned them, Volmund didn't give up no matter what, he ended up being a skillful mage and a priceless mercenary in Cyrodiil.
That's his early life.

As for personality, Volmund got no honor in battle, he uses his Magical skills to destroy those who oppose him no matter what.
He lusts for Arcane power and favors it above everything, even someone's life.
His companion is a familiar he was able to summon since he was young, a Frost Bear.
He uses all three elements of Destruction.
But where his interest really lies is in summoning and Conjuration.

Well, here it is mostly, there's more but I'll write it down later.

That much right there would make a good start.

I think there are many missing details.
In my opinion Volmund's personality needs expansion and depth, that's why I am asking for suggestions.

The problem with suggestions, no other person can suggest the character YOU are going to roleplay. You've gotta yourself know and believe him to write about him. Continue on with your ideas. Like Auroness said, you've got a good start.
Maybe expand a little bit about his brother and what role he plays in his development and personality?
Make up a little quirk or two for your character. A wierd habit before combat, a favorite food, maybe he has certain reactions or twitches when certain people speak to him?