Hello and welcome to the game!

As you're just starting out and leveling your first class (and later job), it's a good idea to just follow the main scenario quest, as they'll show you the main story of the game and also unlock most of content and features in the game. In addition to that, remember to do your class quests (at your class guild) every 5 levels. When you'll get to level 10 you'll be able to unlock other classes and equip cross-class abilities on your Gladiator.

As you will be taking the tank role in the group content of the game, try to keep your gear and especially weapon up to date for dungeons (first one unlocked around level 15). Don't be afraid to tell your party you're new and ask and take advice. You can also ask questions here on the forums.

I wish you great adventures in Eorzea!