The game starts out, as all games, with you learning the basics. How to move, how to talk to people, how to look around. You're on a ship with Jiub. All you have to do is choose a name, and then when the guard comes along, follow him up the stairs. Don't steal anything, just follow him up to the main deck. Use the space bar to open the hatch.

On deck, you then walk to the dock. You're greeted by another guard.

Elder Scrolls Morrowind Walkthrough