Every starting area begins with a simple kill quest, has a quest to collect groundspawns, at least two distinct themes of quests, and eventually sends you twice into a nearby cave. Try to do them all, if you can. When you've finished all this stuff, you'll be given a quest of great importance to the next town over, which will serve as the focal point for the rest of your time in your first zone. (Press M to look at your map, and you'll see you haven't even scratched the surface of it.)
After a little while, and getting to level 5 or 6, it's probably time to move on. If you are a troll or orc, there might seem to be two choices, but use Razor Hill. For everyone else, it's as simple as traipsing down the road, albeit that road is mildly dangerous for dwarves and gnomes.
Your opening zone will effectively consist of four places:
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