Gavindale: Is there a tutorial setting that I am not seeing?
There is. The mission called "The Royal Advisor's Mansion" acts as the tutorial.
Majesty and Majesty 2 are different from all RTSes in the sense that you don't directly control units. Instead, you place guilds for heroes that you hire, as well as buildings that aid them (blacksmiths, marketplaces...) and some static defenses like guardhouses. Then your heroes wander around in search for quests to gain experience and gold, and you can set up markers with rewards to convince them to explore an area or kill an enemy.
Whenever you're stuck, you can refer to
this playthrough.