I would start with some simple things. Simple tasks. Chop some wood. Get some decent armor and then go hunting in the woods. Collect some herbs while you are at it.
Go to the farms and collect cabbages, carrots, wheat and eggs. You can then sell the collected tings from the farms to some of the farmers who own them. I am pretty sure the farm outside of whiterun does this. Just don't try to kill the chickens, that gives you a bounty. I tired it. Lots of farms outside of whiterun.
Then go into to the city of whiterun. When you first get into whiterun, the first shop on your right I believe is call "war maiden", they will teach you to make leather with your deer and wolf hides. They also teach you how to blacksmith. You can also buy the leather and iron ore you need from the lady standing outside war maiden and from the man inside. But they will give you the the leather and practice stuff, as they teach you.
Also, in the main square of whiterun is a alacmey shop. I can't remember it's name. It is run by a woman who I believe will teach you how to make potions the same way war maidens did with blacksmithing. I believe the court wizard in DragonsReach does the same thing.
Whiterun is like the starter place. It as all the basic stuff.
And no, you don't really have to eat or sleep.
Try to keep it simple for now. You will get used to it. And this way there are no caves to go into.
Also, try this cheat. When you are in the game, press this button on your keyboard ~, then type "tgm.", then ~ again. Now you can not die! I also know a cheat to get lots of gold. Let me know if you want it.