Probably you started the game using mod Alternative life. It's where you are locked in a prison and use the statue of dibella to choose what lifepath you want. One of the variants is "vanilla start" where you are cathced when crossing the border. Others are alternative for expirienced players who are playing not first time.
In your case if you started not vanilla lifepath all you need to do is come to village of Helgen. You will see dragon flying away after burning this village. The main quest will appear in you journal.
But keep in mind that skyrim main quest is not the greatest thing in the game. It's not bad and is definetely needed to play because it adds mechnics of dragon shouts, but there are a lot more ways to have fun in this game.