You start somewhere in the hold of a ship that has docked at the village of Seyda Neen in the Vvardenfell province of Morrowind. Your characteristics will be generated as you go along. The character generation process is integrated into the storyline and provides a quick tutorial on how do basic game functions (moving, talking, picking things up, etc). Just follow the directions (not that you can do anything except follow the directions).
The ship that brings you to Vvardenfell will disappear as soon as you step into the Excise and Census office. There isn't anything that you can do to or on it, so we'll just ignore it and pick up with the point where you CAN have an effect on your world.
Talk to Socucius Ergalla (he's the fellow in the robe directly in front of you). His stats: level 14 Agent, 102 HP, 128 MP, Steel Shardblade (and he knows how to use it -- 54% Short Blade skill), a few golds. You will set up your class with him. He will have a small side quest for you a bit later on and he is also available for training (Speechcraft, Short Blade, Light Armor -- all 54%). It might be worthwhile to leave him in peace for now.
Take your release papers to Sellus Gravius in the next building. Gravius is a level 17 Guard, 186 HP, Templar Armor, Imperial Broadsword (with a 69% skill to go with it). Click on "duties" to get a package of papers for Caius Cosades in Balmora.
The directions tell you not to break the seal on the package, but I don't find any of Cosades' dialogue options that indicate a broken seal, so reading it probably won't hurt. But just in case, click here to see what it says (fat lot of good it will do you, unless you are good at working those cryptoquote puzzles - it's a letter substitution cypher).
On the way to the next building, feel free to plunder whatever you can lay your hands on. The stuff in the front office is basically worthless aside from the platter on the shelf to your right as you come in. If you grab it and then immediately drop it, you should be able to pick it up again after the guard chews you out. If you don't drop it before the guard gets there, it goes into the "Evidence" chest behind the guard where it becomes much more difficult to get. It's worth 650 gold, so it's pretty much a "must have" item at this stage of the game.
As for the rest of the office, aside from a Dagger, a few golds and an Apprentice's Lockpick, there isn't much of value, but you will probably need the money you'll get from selling it. There is a magic ring (minor Healing) in the barrel beside the door of Gravius' building. Grab it (actually, you'll get a popup box telling you to grab it). You will need it to complete a side quest, but it's also a fairly harmless way to get a feel for spellcasting.
Do not give your papers to Gravius yet. Once you give him your papers, you can be busted and jailed, but not until then. On the bookshelf right behind Gravius is a key to the storeroom directly across the street from the exit. There are quite a bit of goodies to be had in there, but getting the key can sometimes be a problem. Use the same strategy for the platter - grab it and drop it before Gravius can chew you out and take it away from you.
Once you have finished with the good captain and step out the front door into Seyda Neen, you're on your own (and the game tells you so). Aren't you glad you've got this walkthru to help you through the rough spots?
Before you go any farther, take a moment to read the page about restraining yourself. It will make your life so much easier.