Just in need of some general help..

[CNJ]

Try finishing the MSQ and doing quests that have a blue with a plus icon for now. Do sidequests later or when you need to level up/ get achievements / minions.

^ This.

The Main Story Quests (with the fire/meteor icon) are great. They slow down once at Lv50 and again at Lv60 but they're very good EXP and help you unlock most of the game content. Quests with a (+)plus icon unlock additional features, such as dungeons or Grand Company promotions. They're very good to do!

Don't worry about feeling behind. There are a lot of things to do in this game and you certainly don't have to do all of them right now, or ever! Find a FC (or join a couple if you don't like the first one!) and make yourself at home.

Welcome to Eorzea!