To play Morrowind I suggest the following:
1. Don't read anything about the game beforehand, this includes character creation guides, tips, secrets, cheats or anything that will have you thinking too much about playing a certain way and not just exploring and discovering on your own.
2. Don't worry about making a "perfect" character. The game is not that hard on default difficulty after about level 15 or so. The start can be challenging, but as long as you just explore and don't try to go to tougher areas than you should be in you'll be fine.
3. Be creative with how you play. Make a character you find interesting, chat with the NPCs, ask someone about a local rumor, ask a Scout about a particular region in the world, ask a Barbarian about their lifestyle, etc. There isn't a ton of unique dialogue for every NPC in the game, but if you are just starting out for the first time there will be enough to keep you busy for a long time and then some.
4. Okay, one tip for newbies that might save you a bit of frustration. When you create your character, make sure you at least have some sort of offensive attack potential to start the game with. We've all heard about Morrowind's combat, but if you give yourself a decent starting skill that can inflict damage on an enemy, you will be alright. To do this effectively yet not overthinking it, I suggest this:
a) If you select a magic-inclined race, make sure the class you choose has at least one magic school, if not more, that will actively cause damage to enemies in combat. The main damage-dealing schools of magic are Destruction (direct) and Conjuration (some direct but mostly indirect). The other magic schools are great but you will need to explore them throughout the game, and you will still want a damage-dealing school to start with.
b) If you select a melee-inclined race, make sure the class you choose has at least one weapon skill, if not two.
c) To put this simply, the ideal situation is that you will pay attention to the race you have chosen and build a character based on their inherent race bonuses. I.e. a Nord gets the following weapon skill bonuses:
Axe +10, Blunt Weapon +10, Long Blade+5, Spear +5
^ So, choose a weapon skill that you get a bonus to and you'll be in much better shape to start the game. Same applies for the magic schools and race bonuses as well.
d) I also suggest sticking to the main classes, as they are fun to play the game with. Custom classes can be great, too, and very effective once you are more comfortable with the game and you know ahead of time what type of character you want to play, but they are for more advanced players.
That's about it. Explore, talk to people, peek in a dungeon or two, pick some mushrooms and herbs and have fun. Just stay away from those weird, dark-looking ruins with strange markings on them until you're a pretty competent adventurer. :D