Focus on MSQ quests. By default, your UI should have a bar on the top left with a meteor icon next to it that always has whatever the next MSQ quest is. Until level 50, it's nearly the only thing you should be doing aside from any blue quests you find (they unlock things like glamour, summoning your chocobo in battle, or dungeons (usually dungeons)

You can't just warp to people on your friends list unfortunately. You can see what zone they are in, but you gotta make your way there manually. If you are in a party with someone and they warp, you can warp with them sometimes.