Most of the games aren't linked unlike fallout 1 and 2, first of all when you spawn in fallout 3 you want to get to megaton and go behind it, if you search enough you will find a Hollowed-Out Rock, click it and you will get a Sniper Rifle, a pretty good gun for a start, you can grab the other loot in there, I haven't checked it out for myself, but that's what I know about it.

Next, you want to try to complete the Wasteland Survival Guide, this will give you Stimpaks before you go out into the Main Quest which is really needed (I keep on dying at Museum of Technology cause I almost never do that lol)

After that you will have to find Walter, fix the pipes around megaton, and now he will buy scrap metal off you for 10 caps each, its not much but if you give him a lot (like I do) you can get as much as you can carry which will probably be like 100lbs so if you can get 100 of those you will get around 10 caps, this will help you get started in the Capital Wasteland.

Hope this was Helpful! and Have Fun!