Skyrim: Before The Storm Main Quest Walkthrough

thegamer.com:

Having avoided your execution by the skin of your teeth thanks to a timely intervention from a dragon, the time has come to decide what to do next. Skyrim is yours to inhabit and what happens next is entirely up to you. But, if this is your first time, listen to your companion's advice.

Related: Skyrim: Bleak Falls Barrow Quest Walkthrough

They will suggest heading to the nearby town of Riverwood to look for help and tell everyone that the dragons have returned before they bolt off. Stay with them if you like, but this guide will give you some alternative choices about what to do instead.

If all you want to do is book it to Riverwood as fast as you can, just follow the quest marker there. Doing so would be a waste of the opportunities you can find along the way, though. As it stands, you're a little on the weak side right now. Without any skills leveled up and holding on to the equipment scrounged up from Helgen Keep, you'll want to get some experience and new gear.

You can really do whatever you want. Join up with the Stormcloak Rebellion or Imperial Legion to take part in the Civil War, visit any of the Hold Capitals, join a faction or just wander. It's all up to you.

The best way to do that is to follow your companion down the path north until you reach a cobbled road. Continuing north until you reach a river will lead you to the Guardian Stones. They are Standing Stones, magic monuments scattered throughout Skyrim that offer unique benefits to the Dragonborn. These Standing Stones offer benefits that are perfect for starting out.

The most obvious choice is to pick the stone that matches what your Dragonborn will specialize in. For example, if you want to wear heavy armor and swing two-handed swords, the Warrior Stone