You have the choice:
a) You can level your different skills, learn mining and crafting to make money, learn fighting to raise your experience.
b) You can try to solve all the quests the developers invented - which may require a) at some level.
c) You can more or less ignore game mechanics, and instead make yourself an interesting character with a story, play it, and find friends and foes.
Here you have 100%. Take them, and spread them among those possibilities, as you prefer.
