Part One.
When you start your game, you'll notice that you will have to deliver some papers to a guy named CAIUS COSADES. He turns out to be in a house in Balmora. If you need help getting there, use the map you got in the beggining(or you can just take the Silt striders).
Once you find his house in Balmora, talk to him and agree to obey his orders.He will next try to advise you to join a guild (FIGHTER and MAGES GUILD, IMPERIAL CULT, IMERIAL LEGION). Depending on your level, CAIUS may give you 200 gold of spending money.
CAIUS first job is to go speak to HASPHAT ANTABOLIS in Balmora's Fighters guild. This is the first time you will learn about the NEREVARINE and the SIXTH HOUSE. Anyway, you will have to help HASPHAT before he will help you. He wants you to recover a puzzle box from the Dwemer ruins called ARKNGTHAND. If you head south past the Silt Strider port and cross the bridges heading east. You should see a signpost. One of the names on the post should say Molag Mar. Head in the direction that the sign is pointing. you should be coming up to a bridge, but be weary because the bridge is being guarded. Your up for a pretty good fight(if your a low level that is).