you get the main quest at the very beginning pretty much. you talk to the guard right before you get to go out freely into that first town and he gives you a package to take to some guy named caius. there are a half dozen quests just in that first town, probably even more in which you have to come back to talk to certain people. but the main quest takes you to the city of balmora, which if you didn't figure out can be reached by taking the big spider-like silt striders.
caius is in the far NW corner (i think) of balmora. just sorta go from door to door in the corner farthest from the silt strider until you find his house. he pretty much just tells you to goto one of the guilds in the city and do missions and get your guild rank up. depending on the type of character you made you can pick from like 5 at least different guilds just in balmora. doing the quests will give you at least some sort of structure.
as far as the stats go, i think they cap out at like 5k or something, but some of them like speed you don't want to go past 200 anyways because you'd lost control of yourself going so fast, or break all your weapons every time you swing them from being so strong... but i doubt you'll have to worry about that unless you glitch your stats up. there's guides for pretty much anything you might have questions on.
just wander around and mess with stuff, thats the fun part. you'll start to see more interesting monsters as you level up. make sure to read some guides on character creation, as you'll be stuck with your character for a long time.