The game is pretty hand-off an can leave you feeling lost at the start.

The game is procedurally generated but there are some things that are always there no matter what.

Try talking to all the NPCs in settlements. They are all either merchants or quest givers. NPCs can be very varied in what they are. They can be your run of the mill humanoids but they can also be monsters, trees, plants, robots and a lot of other things. The quest giver NPCs offer two types of quests, procedural generated quests where the quest, quest target and rewards are basically random and fixed quests. Fixed quests usually are very similar between runs but they can also have some random parts.

Settlements are also procedural and fixed. The fixed settlements will show as a landmark on the world map while the procedural ones won't. Settlements can also stretch across multiple screens so don't be afraid to look around.

The main quest line is a great introduction to the game and will offer you but early, mid game and late game goals. I suggest you start with the recommended village instead of a random one. The mayor gives you a quest to kill a creature that is like a few screens North of the village. There is also a tinker that gives you a quest and a merchant. Once you finish the tinker's quest the plot proceeds from there.

Otherwise just explore, look for cool things and have fun