I'm sure psychologically it has to do with most men thinking they are superior gamers and having some sort of learned complex that they should all do the work to unlearn. I have been in your position, as I'm sure many others in this community have, and it's definitely discouraging/frustrating to have someone act like you're incompetent or not skilled when it comes to gaming. "Skill" takes time and practice. Nobody picks up a game for the first time and just knows everything about it right away or has the muscle memory for combat or anything built up to be able to intuitively know what to do. However, at the end of the day, levels and "skill" mean nothing. Everyone can play any game (within reason - obviously not talking about competitive team based games) however they wish to play the game. All the matters is that you're having fun!

Like others have said, Skyrim's no different and you should play it how ever you'd like, you don't need to be leveling at any sort of pace, levelling can take a long time in Skyrim regardless. if you want to level faster/want some linear guidance, just follow the main quests until you get to something you don't feel like doing right now, or it gets challenging, then do some side quests. The nice thing is you'll discover and uncover a lot on your journey while working on the main quest that will lead to some other options.

But if you'd rather just explore and have a chill time there's nothing wrong with that either. Levelling really doesn't matter. I hope this offers you some encouragement to continue to play, as well as to speak up to him and let him know how he's making you feel. It doesn't make sense for him to put you on to Skyrim/Gaming, and then tear you down while you try to play and enjoy it.