Being level 3, as your data suggests, means you probably haven't left town yet. If you have, hit the Return key and go back to town. Personally, I find Limsa Lominsa and Ul'dah to be very confusing, as well. If you're on a PC, the map key is M, and on PS3, I believe it is Square. You can zoom in and out on your maps to get a better grasp of where you're at. Use the mouse wheel while the map is selected on PC, or I think it's L1 + right thumbstick to do it on PS3 while the map is selected.

Other than that, the towns actually do have some signs scattered about to give you an idea of where you're at. They can be nominally helpful in determining where you're going. Realistically, you can get to level 5+ just doing in-town quests, and I would stick to that until you get a little more comfortable with the area. Best of luck!