Melvor is largely a game about making your own goals. That said, if "do whatever the fuck you want" makes you bounce off the game, a more guided approach is to focus on combat.

That's because every skill in Melvor either makes combat easier, or otherwise supplements the skills that do make combat easier. My own ultimate goal in Melvor is usually combat progression, so in the beginning, my very first goal tends to involve preparing for combat using non-combat skills. Melee is the easiest combat type to start with, so Mining, Smithing, Fishing, and Cooking are all important skills to start working on. Mine ores, smith them into weapons and armor, and catch and cook fish to heal during combat. You don't need to worry about other skills until they either become naturally relevant (like finding seeds for the Farming skill after killing a farmer) or until you become interested in them on your own.

Permanent shop upgrades and dungeons will provide you with a generally linear progression path, giving you an immediate goal to work towards next. In the meantime it's all about improving what you need in the moment while working towards your goals. Taking too much damage? Continue mining and smithing to upgrade that iron gear to steel or mithril. Need better food? Grind fishing and cooking until you can cook something better than shrimp. Magic enemies kicking your ass? Time to start working on your ranged skill to take advantage of the combat triangle. Etc., etc.