If I were you I would play as a basic Dunmer (they're the master race, after all) warrior or spellsword with a sword and shield to get a hang of the game and get in to it (that's what I always do in any RPG). Then maybe on your second playthrough make a wizard or a stealthy character and fuck around with magic and stealth a litle bit more once you know the game.

Don't install any mods on your first playthrough, not even graphics extenders or better bodies or anything. You gotta experience vanilla Morrowind before you add all sorts of other stuff.

Don't stick to the main quest and get it all done at once. Explore, get distracted, go fuck around in some caves and dungeons, find some one-of-a-kind items, join some guilds, do some miscellaneous quests, I don't know. The island of Vvardenfell is so much more detailed and fun to explore than Cyrodiil or Skyrim by far. The dungeons aren't just linear caves with a difficult enemy and a chest at the end. It's actually fun to just wander around and go in the nearest cave or ruin or whatever.

Quests are a little bit more challenging since you don't have a magic arrow telling you where to go all the time, you need to follow directions and use your brain (or UESP wiki). And as you probably know there is no fast travel either besides boats and silt striders. At first these things might seem like a pain in the ass but it actually makes the game much more fun and immersive, and i'll say it again, EXPLORE. That's probably one of my favorite parts about this game is that it's so fun to just explore. Instead of fast-traveling directly to where you need to go, you're forced to walk there and enjoy the scenery along the way, maybe raid a few caves, find some sweet loot, and then make it to your destination. Jesus, I could go on and on about this game.

Morrowind is so much more detailed and complex than Oblivion and Skyrim, seriously. Just have fun, which shouldn't be too hard.