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The Elder Scrolls V: Skyrim Hints
Escape Helgen.
1 of 11: Wait for Ralof to follow you inside, then move up next to him when he says he can get your bonds off.
2 of 11: After he cuts your bonds, you'll get the "Loot Gunjar's body" objective. Finish it and follow Ralof over to a closed gate, then get ready for your first combat of the game.
3 of 11: After it's over, quickly loot the enemy captain's body and take the key before Ralof can. That way, he'll stand near the locked door and let you get some easy skill practice with him. See the link below, mentally substituting the name "Ralof" for "Hadvar."
4 of 11: Go through the gate that the Imperials opened and down the passage to reach a room with lots of loot, then go back and open the locked door that Ralof is waiting next to.
5 of 11: Look around past it for a lantern and some cheap food items, then follow Ralof 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.
6 of 11: After that's over, do the "(Optional) Search the barrel for potions" objective, then follow Ralof to the torture chamber, where Stormcloak soldiers are attacking the torturer and his assistant.
7 of 11: You can charge in and practice some skills on the torturers, or you can hang back and let Ralof and the Stormcloak soldiers 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.
8 of 11: 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.
9 of 11: Loot them to get a bow and some arrows, then follow Ralof 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.
10 of 11: Loot the spiders and their egg and web sacs, then follow Ralof 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.
11 of 11: 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.