Upon starting a new game, you will find yourself in a random town. The merchant who gives you this quest will be highlighted with a green exclamation mark above his head. Approach him and initiate a conversation. He will explain his predicament and ask for your assistance in delivering a letter to a Guild Master in another town. This initial interaction also serves as a primer for the dialogue system in Warband.
Listen carefully to his instructions, as he will tell you the name of the town where the Guild Master resides. It's usually a town within the same faction's territory or a neighboring one, making the journey relatively safe for a new player. accept the quest before leaving the conversation.