Should I do the main story now? | Skyrim Ep.6 Blind Playthrough

You know it, I had to (eventually) play Skyrim. I only know of the famous opening cutscene and that's it. Not bad, if I do say so myself. Now then, without further delay, let's get into the gameplay! Also, no story spoilers, please. I'll ask for help when needed, and I'll probably need it. Otherwise, please let me figure it out on my own. Tips, tricks and advice are fine, but I have to ask for them first.