In the starting area there is a locked door leading to the towns warehouse.
They look like scary monsters but are tame.
Leave the netches alone until you are told to.
There's a chance you'll get killed by monsters three times your level.
Save before entering unknown territory.
Even with it maxed, you will get better results paying NPCs.
Don't bother with the Enchantment skill.
This is not Oblivion, neither monsters nor loot scale to your level.
You can tweak the game pretty much however you want, and I suggest hunting around for mods a bit before you play (specifically Better Bodies and Heads, it makes the game so much easier to look at).
Morrowind has a still-active mod community which has done incredible things for the look and play of the game.
Don't worry: once you get some experience under your swamp-stained netch leather belt, you'll be just fine. You're going to die a lot, especially if you've built yourself as a pure mage.
Be sure to join the mages guild for the free teleports (or is it just cheaper?) and do a lot of side quests in between every main quest you do to level up and get better gear.
Alchemy is an excellent way of getting potions cheaply.
In place of spells, always carry potions (healing, etc) that produce the desired effect since they can be used durning a pause in the middle of the battle.
On thing note however, some key spells you will need are Mark/Recall (for getting back to your cache when you are over burdened with loot) and soul trap. You are pretty much always better off just whacking stuff to death. Some may disagree, but I found magic other than alchemy and restoration pretty worthless.
Redguard is by far the best race with their weapon bonuses.
If you pick alot of skills that get used often, and automatically you will level way fast, which isn't necessarily a good thing.
A list of differences between Morrowind and Oblivion is available here.