Your first real choice comes when you get on the dock. The guard there asks about you. You need to choose your sex, skin color, hair style, appearance and race. Your choices are:

Argonian
Breton
Dark Elf
High Elf
Imperial
Khajiit
Nord
Orc
Redguard
Wood Elf

Each race has its strengths and weaknesses. Choose the one that appeals to you the most, and then walk into the building.

Elder Scrolls Morrowind Walkthrough