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The Elder Scrolls V: Skyrim Hints
Escape Helgen.
1 of 10: Wait for Hadvar to follow you inside, then move up next to him when he says he can get your bonds off.
2 of 10: After he cuts your bonds, you'll get the "Find some equipment" objective. Finish it, then follow Hadvar through two gates to reach your first combat of the game.
3 of 10: After it's over, loot the two Stormcloaks and the dead guy named Gunjar for equipment. After checking to see if you want to equip any of it, follow Hadvar through a door.
4 of 10: Look around past it for a lantern and some cheap food items, then follow Hadvar to the next combat area. It also has two fairly weak soldiers in it, so it shouldn't be any problem for you even if you lead the attack in order to get in some skill practice.
5 of 10: After that's over, do the "(Optional) Search the barrel for potions" objective, then follow Hadvar to the torture chamber, where the torturer and his assistant are under attack by Stormcloak soldiers.
6 of 10: You can charge in and practice some skills on the Stormcloaks, or you can hang back and let Hadvar and the torturers take care of business. In either case, start looking around for loot. Before long, you'll get the "(Optional) Attempt to pick the lock to the cage" objective.
7 of 10: After it's done, move down the passage, watching for a couple of locked cells that you can pick open for more Lockpicking practice. You'll eventually come to a large room with several enemy soldiers in it, some of whom are using bows.
8 of 10: Loot them to get a bow and some arrows, then follow Hadvar until you reach a large webby cave with several frostbite spiders in it. Either hang back and try out your new bow, or charge in and start hacking spiders.
9 of 10: Loot the spiders and their egg and web sacs, then follow Hadvar along until he stops near a wagon and points out a bear ahead. After looking around the wagon for loot, decide how you want to handle the bear problem.
10 of 10: Move on down the passage past the bear's cave until you reach an exit. Move toward it until you're taken outside, then wait until you get the next quest.