Lets just say there is no NPC right in front of you barking instructions as soon as you plop into game and your feet hit the ground. Instead, you hit the ground alone. What is the first thing you do? Run off into the wild to start killing things? Maybe run into town instead (providing there is one within view) to start talking to people?
I always figure out my surroundings and what situation I;ve landed in.
I'll scout around a little and head into town. I'll try to figure out if its a friendly or hostile town and find out where the merchants are.
Then I'll figure out if the guards will help me by trying something easy and bringing it to the guards. If they will help me, then I will hunt a little just outside their range until I figure things out a bit.
By then, hopefully, others have wandered by and I've started to figure out the story of the place.