I'm currently lost at trying to accomplish a damn thing in mount and blade, still having fun though.
Starting from the beginning...
1) First thing you need is to recruit some followers from villages - you will be fighting and you won't be winning alone. Take local village quests to earn cash too. Some of them are mega-tedious - herding cows is NOT fun.
2) Practice different fighting styles - my preferred style is mounted lance. It's not too hard, being mounted and wheeling around the edge of battles picking off stragglers or archers keeps you out of tight corners, and a charge lets you one-shot someone.
3) As you go up levels, look at what the skills do - if you want a big army, you'll need several levels of Leadership, for example.
4) As they survive encounters, your local lads follow a development tree that is different for each nation, so you have some choice as to the composition of your army. For morale, keep them fed, rich and winning!
5) Fighting bandits is a good way to start off - especially Sea Raiders with a few levels under your belt. They are tough, but drop some good weapons and armour (expensive stuff that would take a long time save up for otherwise). You can help faction nobles against them to gain a better reputation.
6) Chat to people in taverns and castles - you'll find quests, mercenaries and NPC characters to recruit.
7) With some sold loot under your belt, try your hand at trading. Compete in a tournament, or the arena.
You can tussle with nobles from different factions as an independent, but a lot of the game unlocks when you serve or pledge loyalty to a nation. Serving lets you fight in big battles and sieges: lots of loot! Tinker with formations and orders in battle.
9) Pledge allegiance to a faction leader and you will be given a village. You may also be awarded a keep or even city if you perform well in the siege attack that takes it. That opens the building-improvement game up to you.
10) Look at tinkering with settings - you can change the number of enemies that come in waves in battle and the strength of their attacks on you, so you may wish to allow more onto the field... or all of them at once...
11) Consider wooing a wife... just to see what happens in-game. Sometimes it's fun to be the hero of a faction, but hated by her father and brother because you eloped with her. She has quests for you too!
12) If you're playing Warband, kingship may await...
It's a sandbox game - just have fun doing what you want.