The Warband Strategy Wiki will definitely help: http://strategywiki.org/wiki/Mount%26Blade:_Warband
But in general:
- Play through the tutorial on startup
- Create a character
- Play through the opening quest
- Go to one of the training centers on the map and test things out so you get a feel for what kind of character you want to play (melee brawler? Test out shielded one-hand combat vs. two-handed raging; ranged shooter? Test out quick bows vs. slower crossbows; or just be a tactician and let your troops fight for you)
- Go to a town (during the day) and practice some more in the Arena
- In the town, go to the Marketplace->Goods and start creating a database of item selling prices - you'll need cash to upgrade your arms, armor, horses and pay for all your NPCs
- Go to a village and hire some recruits
- Find some Looters/Deserters/Bandits to take on
- Take a quest or two from any of the lords of the land by talking with them in the field or in their castle/city
You'll probably make it to level 5 or so, before you catch on. Now QUIT and start a new game:
- Use the Strategy Wiki to create the character you really want to play
- Go to town and buy as much of something cheap you can carry - go to the next town and sell it. Repeat.
- Along the way, (as you get the cash), go visit each tavern and hire the named NPCs. Use the Strategy Wiki to determine which set you want to be your Tactician, Engineer, healer, ranger, etc
- Take on Looters and Bandits to raise your/your NPC's levels while continuing to trade for cash and upgrade your arms/armor/horses
- if you don't align yourself with a faction, you can take quests from every faction, maximizing your XP and gold
- Somewhere between levels 8-10 the bandit/looter hordes start getting too large to handle between and you'll start hiring recruits
- Somewhere between levels 10-20 you'll want to start owning property. You can either go rogue and create your own faction (tough) or ally yourself with one of the existing factions. Read the Strategy Wiki to find out which one might be right for your style of play
- Somewhere around level 40 you'll have conquered the entire map for your faction. A great option at this point is to find a pretender to one of the thrones and reconquer his/her traditional lands.
As you can read, I've sunk waaaaay too many hours into this game, and I haven't even touched the multiplayer. For my money, no other game even comes close to the kind of visceral mounted combat Warband provides. Happy raiding.