My biggest tip would be to not level up non-combat skills entirely without levelling up some combat ones alongside them.
If you level up your pickpocket or speech or another skill that you can't fight with, you'll slowly level up your general level too.
And when you do that, all enemy creatures level up along side you. And they get stronger and do more damage and take more damage.
Meanwhile, you're still weak with weapons and poor in defense, so you get your arse handed to you regularly.
But it's a very good game.
I have it on the Xbox. If you've got it on the computer you're luckier than I am, because you can access all the mods available for it. Lots and lots of cool new things you can do on there, for if you ever get bored of vanilla, or if you maybe just want to piss around in the game a lot, or add a feature you think is missing.
I'm sure you'll get a lot of fun out of it.
If you've played an Elder Scrolls game before or not, you'll pick up the controls and stuff rather quickly.