Once you've chosen a race, you go in to meet Socucius Ergalla. You need to choose a class. You can choose one, answer questions, or create your own. I highly recommend choosing a class from the listing. This lets you control what area you're in, but doesn't get you stressed out about choosing the right combination of skills to grow your character well.

Acrobat
Agent
Archer
Assassin
Barbarian
Bard
Battlemage
Crusader
Healer
Knight
Mage
Monk
Nightblade
Pilgrim
Rogue
Scout
Sorcerer
Spellsword
Thief
Warrior
Witchhunter


Then you choose a sign. Click on each choice to see its abilities and the image associated with it. I like choosing the Steed so I can move around quickly, which means I can therefore gain experience in everything else much more quickly. But choose one that suits your own tastes.

The Apprentice
The Atronach
The Lady
The Lord
The Lover
The Mage
The Ritual
The Serpent
The Shadow
The Steed
The Thief
The Tower
The Warrior


He verifies it all and then you're set.

Grab the paper from the desk. Note that he can train on sneak (315gp) acrobatics (126gp) and light armor (505gp) but you of course have 0 gp right now.

Go through the door and into the area on the right with the table. Take everything except the book - including looking in the baskets. Put the lockpick in your hand (by right-clicking to get the menu open and then moving the lockpick onto your image). Go down the stairs and grab stuff from the storeroom. Then head out.

Take the items from the barrel including the ring of healing.

Elder Scrolls Morrowind Walkthrough