I'll probaby create my character and play through the tutorial first
But after that, it depends on the situation, but most likely, I'll either explore the starting town or city a bit, or go to the nearest town or city if the game puts me outside one after the beginning is over. I'll talk to people, get a feel of the game, maybe find some quests to do and try to get some starting equipment and such. Pretty much what I usually do when I start an Elder Scrolls game, really. I'll likely get a bit more ambitious with my actions once I'm used to the game and have at least the basics covered for my character and equipment.