Your great adventure kicks off in a cell. Wait for the Emperor and his guards to come. When they tell you to back off from the door, stand by the window. Follow the rest through the secret passage. Don't engage into combat, the guards will do just fine without your help. You'll find a decent blade and a torch when you search the body of the guard that dies. When you reach the end of this level, you'll be left alone. Defeat some rats and go through a hole in the wall. Look around, you'll find some useful stuff here - lockpicks, a bow, an armor and some weaponry. Search the dead goblin's body to get yourself a key and use it to go through the door.
Cross the dungeon fighting those rats (one zombie will make his appearance as well). Try to get all the items, in this stage of the game everything is noticeably valuable. You'll reach Natural Caves, where rats will be replaced by goblins. There's a mortar near the entrance, handy if you want to start training Alchemy. In a big room you'll encounter a few enemies (including one priest with a fancy staff). When you pull the stone hanging on a rope, you'll unlock the rat pen below.
You'll meet back the Emperor's team on the next level. Uriel will ask you about your birthsign - it's one of the points when you continue to create your character. Choose wisely and follow the rest. Eventually, you'll be left alone with the Emperor. He'll give you the Amulet of Kings and tell you to take it to Jauffre, Blades' grandmaster. Seconds later, Cyrodiil's respectable rules meets his end. Talk to Baurus. You can now choose your character's class. He'll tell you to find Jauffre In Weynon Priory near Chorrol. But first, you must get out of here through the sewers. Go through the secret passage that the assassin used, and open the door using Baurus' key.
Cross the water and go up the stairs, head for the exit. At the end, you'll be able to review the character creation process and make some changes if you want to.