What to do first

[Nimrod139]

After countless hours on skyrim and oblivion and after buying this game on a sale ages ago, I have finally had the courage to play morrowind. I had to read several guides extensively but it was all worth it, the game is fantastic.
However I would like to know what you all recommend I start off doing: I'm in Balmora and after talking to the Blades spymaster I am free to do whatever I want. So what should I do? I was hesitating between joining the fighters guild or wandering off somewhere. All suggestions are welcome.

ps: if these threads already exist and are detailed then please feel free to send a link to them instead. Thank you.

[Logorouge]

The guilds will usually get you to wander around anyway, so joining one might be a good idea. Remember many towns have guild chapters, if you're looking for different quests still for the same guild.

One little task you might want to do is go back to ask the Spymaster about the Blades trainers and seek them out. Helping new recruits is part of their job.

[scimuse]

Pick a role? If it is a little thought out it should inform you of what to do. else go wander around. head towards pelagiad and or caldera. you can use the caldera mage guild fast travel to get back to balmora. you will prolly want a few levels before getting into fighters or any guild where you need to hit things. so go smack up some crabs.

[Fash]

become a treasure hunter and aid the mournhold museum, maybe join the temple as a paladin. or apease the deadra, become a tomb raider. become a legal killer for the morag tong.

[Warondar]

Here are a few things to help you out on navigating around Morrowind. The biggest tool that I use all the time is the interactive map, which links to the wikia. Just click on any of the icons on the map and it opens up the wiki for that exact location.
http://mwmap.uesp.net/

The 2nd thing I use all the time is the IGN walkthrough wiki:
http://ca.ign.com/wikis/the-elder-scrolls-iii-morrowind

Hope this helps out.
As others mentioned, starting with doing guild quests is a good way to start off. You'll get gear, stats, and guidance on how to develop your character. You can join any number of guilds, but some do have opposing goals and might/will cause you to fall out of grace with the guild so to speak.