Usually when I play a Bethesda game I start to diverge from the main quest right when I'm at the point where someone wants me to travel to a place to investigate, but it's not that urgent to go at that moment so I usually take that as a sign for a story break and go off to do my own thing. The thing about skyrim is the only big world change is when the dragons come, when you get done doing the intro and are allowed to wander arund you are free to without dealing with any dragons. Which for a first time newbie would be a good thing, oh and the part where they do show up is when you travel back to whiterun after dealing with bleakfalls barrow quest for the jarl there just to give you a heads up when ya wanna do some exploring.