Anyways, I would explore. The landscapes, the towns, the dungeons, npcs... Just get the immediate surrounding area mapped out before I head off to the next region.
Go to nearest town, explore it, join up with a mage faction, head to winterhold. ... thats probably about 3 hours... explore a few caves/ruins on the way too.
If anything like Morrowind or Oblivion it will take me that long to get through the Character development stage and get a half decent looking character with decent skills lol.
Pick a random direction to head in and ignore the MQ xD Join up a guild to make some quick cash to get some good gear and seek out revenge on anyone who was involved in my imprisonment.
Hopefully go one dungeon too far, get in over my head and get crushed by a bad guy that out levels me. Then make a mental note to come back and get revenge a little later. Early game is such a rush.
Most likely kill everything, or at least mostly everything. And explore while doing so, and quest qhile doing so. Then maybe find stuff and make money while doing so.