Quest: Deliver the Amulet

Prince of Destruction, huh? Doesn't sound like he's all that.

Well, here you are, alone in the big bad world. You're now free to go anywhere, do anything, see anything...intimidating, isn't it? There's plenty of stuff to do, some large cities to explore, and a quest to be undertaken.

If you're interested in heading directly along the questline, then by all means, head straight to Weynon Priory to find Jauffre. You can either walk there and work on your skills in the meantime (by casting low-level spells, jumping around to buff your Acrobatics, fighting anything you see to start working on combat skills, or just exploring to see what pops up), or you can just warp directly there with direct movement, which is accomplished by opening your world map, finding the Priory (which is near Chorrol on your map, to the west of the Imperial City), and selecting "Travel".

If you want to travel around a bit, then you may want to check out the Imperial City Market District. There are plenty of shops to visit, and if you have a little Security skill, you should be able to lockpick your way into a lot of storerooms and private quarters above and below the shops to see what kind of loot you need. You can sell all of the stuff that you lugged out of the sewers, as well, or attempt to get a particular merchant to like you with the Persuade and Speechcraft options. If you wait until two or three in the morning, then you may be able to lockpick the shops themselves and steal the loot they have on display.

Weynon Priory

When you reach the Priory, head into the Weynon House (the large building with the tunnel running through it) and find Jauffre. Depending on the time of day, he may move around the house, but most of the time, he'll be upstairs behind his desk.

After talking to Jauffre and delivering the Amulet into his caretaking, Jauffre will task you with finding Martin, the Emperor's illegitimate son. Since Septim's three legitimate sons were all killed at the same time as the Emperor, Martin is the heir to the throne, even if he himself is unaware of his origins. Jauffre will task you with traveling to the Chapel of Akatosh in the city of Kvatch and tracking down Martin, then bringing him back to Jauffre in the Weynon Priory.

Before you leave, ask Jauffre and the other brothers in the chapel for Assistance in their dialogue. They'll all have items to give you, with Maborel offering up his horse, of all things! You can use it to make your way to Kvatch, if you wish; or you can just use quick transit to warp directly to the camp outside the city.

Quest: Find the Heir

Kvatch

The large spike here was where they opened a Great Gate. The one in front of you is actually fairly small in comparison.

However you get there, you should approach Kvatch via the road to the south. You'll pass through Belletor's Folly, a small camp set up on the road leading into town. If you talk to the civilians here, you'll learn of frightful events: apparently Daedra from Oblivion have begun their assault on Tamriel. Portals opened around the city in the night, and it fell hours later. Some few civilians managed to escape the sacked city, and have set up a base of operations in the camp. One of the guardsmen, Savlian Matius, is convinced that he can hold the road and prevent the Daedra from reaching the lowlands, but his companions are...pessimistic, to say the least.

Subquest: Breaking the Siege of Kvatch

Presumably Martin was the target for the Daedric assault, but if you speak to Savlian at the top of the hill, he'll tell you that the last he saw of Martin was when the priest was leading a group into the Chapel inside the city. Unfortunately, Savlian and his men can't counterattack into the city due to the Oblivion gate that has been constructed directly in front of it. No matter how much you try to tell him that you can just walk around the gate and walk up to the city and head inside, he won't listen! Stubborn fool...

It's time to take your first step...into Oblivion. Your adventure here can take a while, so if you need to, now would be a good time to head back to a shop and stock up on Repair Hammers or any other critical items.