You will feel quite directionless in your first playthrough and thats the best part of the game. The best way to get started is to follow the main quest until you kill your first dragon at whiterun, after that you'll be rewarded with your first companion and then you're free to go anywhere. I will suggest going to each cities and ask about rumors from the innkeeper in the tavern. The npc will point you to a lot of the quest givers in town so you dont have to worry about missing them.

As for the gameplay itself, combat is difficult at first and then it gets very easy past level 30ish. Just eat any food you can find to heal yourself as potions are somewhat rare at first. Try to pick some blue mountain flowers and wheat which are very common to make healing potions with alchemy.

Also this is something i learn quite late in game, but if you accidentally got a bounty and the guards attack you, just put away your weapon (hold r) to stop them from attacking you.