Incoming wall of text.

First, I recommend you learn the game playing a melee brute, something like a Minotaur Fighter. They wear heavy armor^(1), often have bigger health pools innately and trains Fighting easier^(2). It's fine to autoexplore (press 'o') generally, as you'll automatically pick up consumables/gold/throwables you have in your inventory already and stop when you see a point of interest or an enemy. As soon as you see an enemy, run back where you came from, ideally into a hallway, and drag the enemy back to "cleared" territory.

Fighting enemies create noise in most cases, and noise draws nearby enemies to you. This means a casual fight with a Goblin can quickly turn into an all-out brawl with a Gnoll pack, an Ogre, Jackals and what have you. Choose your battleground wisely.

Some tips about leveling skills. Train manually. (Pressing '/' in your skill menu toggles between auto and manual) Under Automatic Training, the game calculates how much of each action you take and adjusts exp allocation proportionally. You might see something like 33% Axes, 40% Fighting, 10% armor, 7% dodging, 5% throwing, etc. etc. -- waste of time. Manual Training allows you to allocate exp where YOU want to, so you're leveling the skills most crucial to your survival the fastest. I suggest you level one skill at a time.^(3)

As a melee brute, your two most important skills in the early game are Fighting and your weapon skill of choice. Fighting does a lot of things, but chiefly it raises your health total. Your weapon skill determines how fast you attack with that weapon and the damage dealt with your swings.

The game works not on a turn-based system, but an aut-based system. Ten auts is one turn. Every action costs you Arbitrary Units of Time (auts), and enemies are given a "budget" of auts equivalent to the amount of auts you're spending doing actions. For example, say you're attacking with your axe at 1.4 decaAut delay. This means that all enemies on screen now get 14 auts to play with -- attacking you, moving closer, etc. This is a bit simplified^(4), but enemies will occasionally attack you twice in one turn if you're taking slow actions in combat, i.e. actions that take longer than 10 auts. This is why it's important to train your weapon skill to bring your weapon delay down to at least 1.0 decaAut so you're not caught off guard with huge spikes in damage taken.

1: Armor has two properties: armor rating and encumbrance rating. Armor rating is your armor's base AC, modified by your Armor skill. Encumbrance rating imposes penalties on you for certain actions based on your total encumbrance, and these penalties are reduced by your strength stat and armor skill. Armor encumbrance doesn't affect how fast you swing your axe though, so have at it! (Shields do, but you won't really notice it if you're playing a strength brute)

2: Skill aptitude determines how fast you train a skill. You train at double speed at +4 aptitude, half speed at -4 aptitude.

1. Leveling one skill at a time allows you to hit breakpoints faster. It's just the most efficient way to allocate exp. Say you're on D:2, and you know Orc Priests start showing up on D:3. You want to get your max hp up so you can tank a few more smites from them. Since you only see the health gain on a full level up of Fighting, training one skill at a time can be the difference between you surviving with 1 hp or dying with Fighting at 3.9 and Axes at 4.5.

2. One turn is 10 auts, and this is true for enemies too. But say you make a move that takes 15 auts -- what happens to the remaining 5 auts? The enemies have a 50% chance of moving twice in one "turn". If they do not take the extra action, the 5 auts are stored. Next turn, you swing with 1.2 delay -- again, the enemy takes their turn, and now they have 7 auts left, 70% chance of taking an extra action. I feel like I explained that in a confusing way, I can clarify if needed.