The answer to "What do i do now" is "anything you like"
The game is created so that you can do whatever you want, and choose your own path.
You may simply choose to go out and kill monsters and raid dungeons. Or you can go on the main quest or do minor quests too.
Personally I'm in it for the very freeform type of playing and the storyline. I like the stories of the Elder Scrolls games. There has been put so much thought into it. There's so many books to read ingame too.