depends on on which town you started
anyway, the whole point of the game is to talk to people, get quests, and kill stuff.
usually by the main gates to whatever town you chose (the gates that lead you out of the city) there should be a solider that you can talk to, and he'll give you story based missions (the ones that progress you through the game). Just go out, kick some ass, lvl up a bit. People recommend not to party with others untill youre at least lvl 8 (shared xp with lower levels sucks, makes it take longer to lvl up).