Well, the good Captain didn't tell you much, did he? Deliver some papers to Caius Cosades in Balmora. He was at least nice enough to tell you how to get to Balmora, at least he was if you had the good sense to ask for directions.
If you didn't have the good sense, here's what you missed. Balmora is north of Seyda Neen. You can get there by silt strider (costs a few golds) or by walking. If your character is 1st level, the walk is safe. There aren't any critters along the road until you hit 2nd level. If you choose to walk, just follow the signs.
Once you reach Balmora, you'll need to start asking around for either Cosades or the South Wall Cornerclub. The good folks at Bethesda make your life moderately easy if you take care of this little chore right away. Because you have not had a chance to join up with any of the factions in the game, everyone in Balmora will be moderately indifferent to you as their disposition is entirely dependent upon your Personality. So even the rabid xenophobes at the Council Club (directly across from the silt strider platform) will be fairly pleasant to you. Even if you are a female Orc.
The South Wall Cornerclub is near the southern town wall (maybe that's why it's called the "South Wall"?) on the east side of the river. Go inside and up the stairs to find Bacola Closcius. Ask him about Cosades and he'll give you directions to Cosades' house (out the ground floor door, up the stairs to your right, and then left all of the way to the end of the street).
DO NOT, UNDER ANY CIRCUMSTANCES, KILL COSADES!!
He will be your quest giver for the first eight parts of the Main Quest. You can work around the problem (there is only one NPC that you must not kill if you want to complete the Main Quest), but I have no idea how to do it and the rest of this walkthru will most likely be completely useless to you.
Talk to Cosades about "Report to Caius Cosades." If you have somehow managed to lose the package, he will imply that you are a mental midget, his disposition will drop by 10 (not a good thing) and he will tell you to come back when you have the package. If you really have lost the package, you can add it to your inventory by opening the console window (hit the tilde key) and typing
player->additem bk_a1_1_caiuspackage 1
If you have the package, but refuse to deliver it, his disposition will drop by 10 for each refusal. If you deliver the package, he will tell you that he has been told to make you a Novice in the Blades and ask if you are ready to follow his orders. Saying "yes" would be the prudent thing to do at this point as a "no" will drop his disposition by 10 points and get you the boot.
Saying "yes" will add the Blades to your faction membership list (at the bottom of your skills list), add 10 points to Cosades' disposition, add 20 points to the dispositions of each of the Blades Trainers (means you're going to pay less for training) and mark this particular quest as finished in your journal. Follow the conversation threads about "Blades Trainers" to get directions to each of them. They are:
A word of caution on dealing with the eight members of the Blades: do not steal from them or attack them. At least not until Cosades is out of the picture and you don't need him for any more quests. If you are caught, you will be expelled from the Blades -- permanently.
Now, just follow the conversation threads. Cosades is a veritable font of wisdom, good advice and information. Pump him for every scrap of information he has.
If you are less than 4th level, he suggests that you join up with one or more of the factions in the game and work as a freelance adventurer. He gives you some specific directions to the Fighters Guild, Mages Guild, Thieves Guild, Imperial Cult and Imperial Legion:
Cosades mentions in passing that you might be able to join one of the Great Houses (Hlaalu, Redoran, Telvanni), but doesn't tell you much more than to go talk to one of their councilors. You should also be able to ask him about the Morag Tong, but he can't tell you anything more than what it is.
If you are at least 4th level, Cosades decides you are ready for your first mission.