Your first few levels are likely to be spent in or close to the Meadow. Take a look at HELP STARTING GEAR and HELP LEVEL GEAR for useful items to look for. If you get lost, remember that RECALL will take you back to Nom, in the centre of the meadow.
You'll notice that with each level, you gain more practice points. In general, it's best to begin by spending these on training your attributes. Wisdom, constitution, and intelligence are especially important, as these will make your character more powerful in the long run. Once you have these trained, you will probably find yourself wanting some skills or spells. Some useful early skills for each class are shown below. These are by no means the only good choices, so do read the helps on each and ask others for their suggestions.
warrior second attack, parry, bash, enhanced damage, shield block
rogue dodge, parry, sneak attack, rogue lore, trip, dual, second attack
mage magic missile, armor, chill touch, identify, invis, locate object
cleric identify, armor, cure light, bless, locate object
monk dodge, kick, open hand, enlightenment, mantis technique
archer archery lore, dodge, fletch
psionicist heighten senses, anticipate, body brace, dart, biofeedback, fear