When you don't know what to do hit up BGwiki, FFXIAH, and FFXIclopedia. These will be your information sources. Run the game in windowed mode so you can do both at the same time.
You'll also want to hit up the Tutorial NPC for extra goodies.
Golden rule of being able to play FFXI is getting levels. Everything else is easier when you level.
Never level without Signet on (so you can get crystals). Generally for leveling you go to Gusgen Mines ~10~30+, then Crawlers' Nest to 60~70+, then either to Abyssea if you have stones or Bostaunieux Oubliette (you'll need to do some missions first to get to Rank 3 but you can easily do this around 40+) all the way to 99 cap. After 18 you can get your subjob in a quest in Selbina or Mhaura. After level 50, every five levels the first time you get to those levels you'll have to do a quest with an NPC named Maat in Ru'Lude Gardens to uncap your level. You should find all the details on either BGwiki or FFXIclopedia on how to do these. If you need new weapons and armor, consider using FFXIAH's advanced search function to find a level appropriate list, and to price match it (be sure to set it for your server).
At 30 hit up Port Jeuno to flag the Abyssea quests and start stone generation. Also consider unlocking new jobs, Dancer is probably going to be a major one for you as a beginner if you like THF, especially since /NIN's spells are a bit costly for new players in terms of either questing or buying them (both jobs provide a trait called Dual Wield which lets you hold two one handed weapons at once).
With leveling you'll want a source of gil beyond what you get from quests and pages. With the crystals you get you'll notice they sell for quite a bit on the AH, but you can also use them for crafting. One recipe that almost always makes money is to sit at a guild shop that sells Copper Ore, buy four, then take a Fire Crystal and craft it into a Copper Ingot. Repeat until you have a stack of 12, then sell it on the AH for the market price (check FFXIAH for reference). Repeat for more gil. You can also do something similar with Sheepskin. Once you've hit level 20 and have about three weeks of having your account you can also try fishing without the frustrating anti-RMT fatigue limits, and aim for Moat Carp (which also sell well in stacks on the AH). There are of course other methods, especially if you're aware of the markets in FFXI.
If you haven't already used your Chocobo Shirt/Hat codes on your character (if you bought the Seekers Ultimate Collection) you can also consider swapping servers (I hear Valefor is nice) or races (although race differences are small enough to not be an issue in the majority of cases with the exception of Tarutaru HP).
There is a pretty heavy guide, although it is targeted more to returning players. For your purposes what I wrote should be pretty useful though.


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