It's fairly easy to find your way around in Skyrim, the map and user interface can tell you where to go. Once you have selected a quest (or quests) from the "Quests" tab in the main menu, such as below;
Markers to indicate where to go appear on the map (here's how it looks with the marked location(s) are in view);
(...and if the marked location(s) are off-screen)
Markers also appear on the horizontal compass at the top of the gameplay screen to show you which direction to go to reach the maker from where your character currently is.
I hope that helps.