How to play Skyrim - need help!!!

[Googolplex]

If you remember I started to play Skyrim a while ago. Then I paused it, played Risen 3, and now I want to continue Skyrim. I am level 26 and in Solitude.

But this town is extremely big. The world is extremely big. Too big. Where should I go to continue story line? I do not know what the main quest is. I have so much quests and everything is far away from me. Where I go, everything seems to be infinite big.

Is it normal that you need thousands of hours for Skyrim? Or is there a way to play the story? How do you finish this endless game?