If this is your first time playing Morrowind I would recommend you do not play a Mage as they're the weakest class by far in the game. The first thing you need to figure out is what sort of character you'd like to play. Even if you know absolutely nothing about this game it's typically recommended you do not pick one of the custom classes available because all of the custom classes are crap. When you first start out in Morrowind you will be tasked with creating a character and choosing which Minor and Major skills you'd like to have. Creating A New Character Guide - Elder Scrolls Morrowind