Let me give you a quick rundown of where to focus your early adventures. The imperial city arena district is perfect for getting started, since you can make decent gold and practice combat without too much risk. The imperial prison sewer area, right after the tutorial, has some dead assassins you can loot for good starter equipment. There's also a free storage spot at the waterfront shack that's really useful when you're just beginning.

The fighter's guild halls in chorrol and bruma are solid choices too, and joining up early gives you access to some basic equipment and training. If you're feeling brave, there's actually a secret free house near leyawiin that can serve as a nice base of operations, but maybe wait until you're a bit more experienced before heading that way.

As for places to avoid at first, definitely stay away from any oblivion gates you see popping up, those are brutal when you're starting out. High-level daedric shrines and vampire dungeons are also pretty dangerous early on, and most ayleid ruins have tough undead enemies that'll give you trouble. Good idea to stick to the main roads between cities, and remember to save often especially before entering any new areas. Maybe interesting - experimenting with different weapons in safer areas like the arena will help you figure out your preferred fighting style without risking too much.