If you have the Morrowind DLC you will start in Vvardenfell. To access the main quest line go to Vulkel Guard and you will be approached by a hooded stranger.
You can leave Vvardenfell by any active wayshrine. You can travel to KR or Auridon from there.
NoTimeToWait wrote: »Since new characters usually don't have other wayshrines available, the best way to reach mainland is to use a ship in Seyda Neen which is the first turn to the right when you leave your original ship in which you appear after finishing Morrowind tutorial.
Also, a ship near the northern Vivek entrance will get you to any capital of three Alliances