Unbound is the first quest you will have in Skyrim. It is activated automatically at the start of a new game.
 Quest Walkthrough
You begin by sitting on a wagon with three other prisoners, who turn out to be A merchant, a rebel, and Jarl Ulfric Stormcloak, the man who started the rebellion. You follow through the cinematics, choose your character, and follow guards, until you get a choice to follow either Hadvar, the Imperial, or Ralof the Stormcloak. Upon entering Helgen, the man you followed will cut your bindings, and allow you to loot the corpse of a fallen comrade.
After looting the body and listening to bit of conversation, the guards of the opposite faction will open a door to your room, beginning your first fight. When you kill the guards, grab a key off one of the bodies, and open the locked door back in the first room.
Going through the door and down the stairs, the Dragon crashes down the ceiling and you are forced to go through a door that leads to the torture chamber. Through the door you're confronted by either Stormcloak Soldiers, or Imperial Guards, the Torturer and the Torturer's Assistant.
When you kill the enemies, you're told to pick a lock, which leads to a few gold coins, your first mage's gear, a magicka potion, and Spell Tome:Sparks. After this room, you're led down a long corridor, opening into an underground cave, where you are confronted by more of the opposing faction.
Continuing on, there's a lever, pull it, and a bridge drops, cross the bridge, and it will collapse the roof behind you. Pressing on toward the end, there is a group of Frostbite Spiders and a Cave Bear.
Once outside, you have completed the quest.
Upon completion, you are given the quest: Beyond The Storm