Upon exiting the Imperial Sewers, you'll find yourself in the vast wilderness of Cyrodiil. Your first main quest objective is to deliver the Amulet of Kings to Jauffre, the Grandmaster of the Blades, at Weynon Priory. Weynon Priory is located southeast of the Imperial City. You can choose to fast travel if you've discovered the location, or embark on a journey through the wilderness. Be wary of wildlife and bandits along the road; this is a good opportunity to practice your combat skills and explore a bit.
Once you arrive at Weynon Priory, speak with Jauffre. He will be surprised by the Emperor's death and the Amulet's presence. He'll instruct you to find Martin Septim, the Emperor's last surviving heir, at the Kvatch Chapel. This marks the beginning of your true quest to save Tamriel. Before leaving, Jauffre will provide you with some gold and a key to a chest in the priory, offering some basic supplies. Ensure you are well-equipped before heading to Kvatch, as the city is under siege.