Well to level it's actually easier than it appears.
Your major skills are the ones specific to your class, so for example I play a warrior (now level 24) and I have the major skills of blade, blunt, armourer, block and athletics oh and heavy armour.
Now these skills raise your level, each time you gain a skill in blade it adds towards your overall level progression. So the more major skills you level at one time, the quicker you will progress to the next level.
Basically the skills you use the most or want to use the most should be in the major skills (so pick a class you think you will like). I chose a warrior because I like to fight head on and use swords (blade) and shields (block).
Minor skills just ignore as they don't add much to your level increase, concentrate on major skills. So if you use a bow a lot, make marksmanship your main skill!
I also recommend when you found a class you like and can level with easily, do the main mission up to Kvatch then complete every other quest as it makes the game much more fun. I did the Daedric quests and you get awesome weapons and armour and when done them all you get +10 increase of certain skills (got 110 in blade for that!)
Hope this helps.