I'd say main scenario, dungeons and fates to level your first class.

As said by the previous post you'll want to level both eventually for access to the cross class abilities but personally I'd start with the MRD if you want WAR and once at 30 lvl a PLG to 15 to unlock the WAR job. Worry about the gladiator later, just make sure you learn the MRD/WAR well.

As you're planning on tanking make sure to run the roulette daily and spend time in dungeons, sucks for other players if they pull a high lvl tank in late game content that's barely set foot in a dungeon.

I advise finding a fc on your server who specialises in training up players or get a mentor to teach you how to play your role properly.