I know I have to advance in the main story but I am lost and dont have a quest to continue. I just got the fighters guild guy in coldharbor. Can anyone help me out?
Sounds like you're at the spot where you just have to rescue people in Cold Harbor for a while. In particular, you need to rescue the Ayleid king and the mage Vanus Galerion, but the more groups of people you rescue, the more you'll have helping during the rest of the main quest, and the more alive the Hollow City will become.
I know I have to advance in the main story but I am lost and dont have a quest to continue. I just got the fighters guild guy in coldharbor. Can anyone help me out?
Just do quests in CH, collect meridia crystals, and main quest will proceed.
The main things to do are to unlock Mage and Fighters guildhalls in coldharbour, so you need to rescue Vanus Galerion (Black Forge location east from the city) and Ayleid king (it will be in the end of questing with bosmer and lamia conflict west from the city). Then pass to The Chasm will open and you can continue main quest.
If it is the quest to find survivors and rebuild Coldharbour (I think it is called "Meridia's Army"? but I could be wrong) then have you rescued the Ayelid bloke? If not, head past the Library of Dusk and pick up a quest from an abandoned backpack at a camp there. Doing that and then heading back to Hollow City will give you a quest that leads you through the lower Coldharbour quests that are necessary for the main quest, up to the Bone Orchard.
Or perhaps you are further along? If you already did the Bone Orchard (check your Coldharbour map to see whether the location is marked as complete) you need to head roughly north from there and pick up the quest at Reaver Citadel wayshrine.
There's a decent guide to Coldharbour quests linked below that may help you to determine where you are up to.