My suggestion is to buy The Morrowind Prophecies. I live by this book, its my bible
If I were you I would either make a Darkelf or Breton race if you plan on using Magic. If I were you though. I would start off as a fighter type class. They are the easiest to learn on.
Save constanstly is extremly important in Morrowind. I usally save ever 5 min, somtimes ever 1 min or so.
Don't pay for training yet, its easy to level up now and its expensive to train from trainers. Also, if your at suran, go to one of the gaurd tower. At the top floor there is a bed, under the bed there is a nice sword. Sword of the White Woe. I use it and Im level 20 (Havn't found anything better yet :-( ) It may be hard to get because there is a guard there.
Always save before you attempt to steal or open a chest in public. If you are caught stealing then I suggest Loading a previous game or dropping everything you have (As most everything you use will be stolen) then paying the fine.
Never go to jail, it ruins your skills.
Morrowind Prophecies is a huge Guide to the Morrowind game. It shows lists of monsters, races, Maps(extremly helpful), igrediants, weapons, armor, and hundereds of pages on quests.
Thats all I can think of from your broad question, please feel free to post any other questions you have and I or someone will respond with help.
Have fun and prepare to put your social life on hold for a few weeks at the least