Yeah, it might be helpful to jot some notes on paper regarding the quests you're doing, especially the main quest. There is a journal in the game, but it is much more difficult to navigate than in Oblivion, without mods. I remember having to start the game over many times because I'd stopped playing for weeks at a time and would totally forget what I was supposed to do, or what I was in the process of doing when I last played. I guess that's one thing about Oblivion that is easier (the active quest and marked map locations). At one point the main quest starts to become a LOT harder to follow (you'll know when), so that is when I would makes some notes if you don't play frequently or may stop playing for a while at a time.
Oh! Biggest tip for beginners: The northeast watchtower (it's the one closest to Caius Cosades' house -- northeast may be wrong) in Balmora (almost called it Bruma...) has one of the best swords in the entire game that you can steal without being caught at any level. This will help out a lot. It's called the Sword of White Woe and it's sitting on top of a dresser on the top floor. There is a guard standing right beside it, but if you stand behind the pillar so that he can't see you, you can jump and grab it and you will not be noticed. Make sure to save just before you try this though. The best "stock" sword in the game, I found, was Umbra, which can be found in a mountain nook north northeast of Suran. The sword is really tough to get at a low level, though, and is only a little better than White Woe (Umbra is a claymore in Morrowind (though a longsword in Oblivion...), and White Woe is a long sword).