I played this game on and off for a few weeks. There isn't really a way to figure out what I need to do first in the game. I am new to the Ultima series and I think it would be fun to get into it.

As a first time player. What should I do in the game?

Sorry, I forgot to mention which ultima game it was. It was Ultima I.

Sadly, this is 1 game I have never played. I have a copy but never got around to it.

There is a relatively small number of things in that game, especially at the start. If you are a thief, you could steal yourself some strong weapons/armor and food (though at the beginning you will generally want to reload if you get caught, you aren't strong enough to beat the guards yet and getting around them can be difficult at best). Otherwise fight mosters for gold to buy them. Beyond that, the other immediate thing is to do the quests for the eight kings, half of them will lead to attribute boosts, the other half give gems you will need eventually.

One thing that's counter-intuitive:

Usually, in an RPG I would expect the strategy to be to kill overworld enemies until you're strong enough to explore dungeons; that is not the case here. You want to dive into the nearest dungeon right away (after purchasing, or perhaps stealing, some basic equipment), kill some enemies, and then leave; doing so will get you some extra hit points. (Stay on the first floor at this point.)

So, you need to do the exact opposite of what you'd expect; go into the dungeon right away! Do this in a dungeon so you can get some hit points, so you don't have to spend some of that hard-earned money on them.

(You'll still need to buy food, as 0 means game over here.) At the start of the game, you are in no way ready to do this. The gems require deep dungeon dives, which you aren't ready for at the start, and the attribute points (always strength when from a quest) require sea transport.