The game's very open-ended, so there really isn't anything you need to do. There's a main quest, but, as is everything else in the game, it's optional. If you want to progress that way, however, your best bet is to talk to lots of people, read what they say, and try to do some of it.

If you still need a push, however, talk to WW. He's our local Morrowind god.

What is it they say about silence being golden?