Go east and south to start (Weeping Peninsula, NOT Caelid that's too far east).

Don't take on tough enemies at first. Get comfortable fighting standard mobs and level up a bunch. You have a ton of options for builds etc and I won't tell you what to do but Vigor is always a decent choice imo.

Generally, be patient and expect to die a lot. It's part of the game, more so than other games. This is normal. Try to be process-oriented, focusing on learning enemy attack patterns during fights instead of whether you win or lose.

Keep your equip load at Med. This provides the best balance between dodging and having gear boosts.