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Create a personality for your character. Will he or she be a magic user? Sword user? two handed weapon user? Archer?
Then collect gear best suited for those roles and pay attention to the armor rating for your character.
I recommend starting off with faction quests (Dark Brotherhood or Thieves guild if you're going for a stealth character, Companions if you're a one or two handed because you can become a werewolf too, College of Winterhold if you're a mage) Pick one then try to accumulate gold and work on your smithing, smith iron daggers and gain experience. Do a lot of dungeon dwelling, you might find a lot of gear and gold you don't know about. And then when you're settled a bit more, start progressing into the main questline. If you have dawnguard, be careful if you walk into cities at night.
If you do the Dark Brotherhood, you can get Shadowmere, an immortal horse (He can still die, but he respawns).
Go around the taverns, and ask if they have any jobs available too.
Hopefully there are other people who can give you advice too because I think I'm doing a bad job lol
True, but actually, Malborn goes to Windhelm afterwards, he's in that bar (forgot the name) where all the elves gather.
And Ethienne becomes a thieves guild recruit :P
Every build has its pros and cons, the con of sword and shield is that you can really only focus on one enemy and damage isn't consistent as you're guarding and fighting interchangeably.
If you're new to Skyrim, try experimenting with other weapons :)
Oh no that's the tavern/inn, there's another bar in the other side of town by the alleyways to the right as you enter the city.
http://elderscrolls.wikia.com/wiki/New_Gnisis_Cornerclub
Apparently he gives you a quest, I've only done it once hence why I forgot it.
But basically he's being hunted and won't leave the city, so he asks that you kill the assassin and then he flees skyrim via boat or something
http://en.uesp.net/wiki/Skyrim:First_Time_Players
http://en.uesp.net/wiki/Skyrim:Killing_-_Before_You%27re_Killed
As for easy advice sneak+bow let you kill most enemies without being in any danger.
why didn't you give Malborn some weapons and armour to store for you, they are easily retrieved and drastically improve your chances.