Complete the intro scenario and head into Dathica.
Save your game and then talk with the Chief.
He will give you money and instructions about your first quest.
Buy some armor at the Armory. Buy a weapon too. (I recommend the sturdy sword and leather armor
The HUD in the upper left has different buttons. Click the pen icon which opens your Quest Focus.
Complete your first quest by going into the Whispering Woods and finding Smith.
Save your game again.
Head back to Dathica to speak with the Chief. He will give you more quest information.
You need to Get Dynamite. You must first gamble with Solvang to learn his secrets.
Once you've spoken with Solvang about Dynamite, he'll give you further instructions.
Head into the Whispering Woods again to find the Elven Outpost.
Fight the guard Thorak to obtain entrance. Speak with Malicus the War Commander to get dynamite
The dynamite can now be purchased in the shop at the Elven Outpost if you need more.
The dynamite can be used to clear blocked paths in the mountains.
Search for Penelope in the mountains.
The rest of the journey is up to you to figure out!