I can't quite remember when and where I found my first player-made roleplaying events.
Most probably it was on the plaza, near Harnquist's forge, listening to people talking to each other. Or in the tavern - or at the stairs to it.
Lolitra and Celorrim Purrty; Rilar Chisosah; Nilrem Driel; Zorbels and her friends ... they must have been my first experiences, half a year ago. And the more I look around, the more people I hear of, who have interesting stories to tell.
Look for a little crowd, and take your time to listen to them - it started so easy for me.