You could also just go out and explore. There is no "do this, then that" to UO. It's more of a "You can do this, or you can do that" type of game. The world is open, and you can do just about anything you can imagine in game (as long as your skill set allows it).

Did you do the walk-through when you had the option to when you first made your character? Did you do an "Advanced" character, or a pre-set warrior? Some pre-set classes start you off with a learning quest to do, I'd also suggest doing one or all just to learn about different skills/types of game play. You can delete the characters and make new ones if you don't like them.