How to play Skyrim - need help!!!

[Kreekakon]

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.

Have you been paying attention to the story the game gives you? It's mostly that the dragons attack, you discover you are Dragonborn, and you have to help defeat the dragons. When I played Skyrim I found it mostly very obvious how to follow the main story's mission since each main story quest almost always feeds right into the other.

If all else fails you could always go look up a walkthrough.