Here, this should help you, read the comments, I explained the road a bit and posted a hopefully helpfull screenie there.
http://theskyrimblog.ning.com/photo/2012-04-20-00011?context=user
Mine's a little more complex, this is what I use on most of my characters to kickstart Smithing
>Bandit Camp just off the road as you come out, take Treasure Map I
>Guardian Stones
>Embershard Mine
>Back to Guardian Stones
>Kill the Hunter near the Guardian Stones (if not playing a lawful good character), steal all his hides and mine the ore there
>Go back up to the bandit camp
>Mine the 3 Corundum veins just above it
>If I'm playing a mage, off to the Talos shrine, otherwise on to Riverwood
I nearly always visit Riverwood first, to sell and get supplies. After that, it depends on the character. Some stay near riverwood - exploring near their adopted town, others go onward to Whiterun or other civilized places, while some head off to mine, others explore caves; just depends on the character... With different characters, I've gone in every direction I can think of.
I've only left Helgen four times. Didn't have a pattern. Did the bandit camp, iced the hunter camped by the river, gardian stone, made myself confortable at Anises Cabin, went to Riverwood.....that's from what I remember. I'm sure I'd have a routine if I've done it 100+ times.
Make a cup of coffee and wander off in the direction of Falkreath after visiting the Mage, Thief or Warrior stone. Recently though I find I'm using the 'coc qasmoke' cheat to the test room to grab the skeleton key and a nice bow or sword first which is cheating I know but it doesn't stop me enjoying the game.
Hahaha those poor bandits, what a terrible place for their little camp
I try to pick a different "main" city for each of my characters and head straight for it ASAP, as in, I even skip the Embershard mine. I had a lot of fun with a character who started in Markarth at around level 3, and there are lots of little easy/fun little quests around Falkreath as well, which you can easily run to right from the Guardian Stones.
If you're looking to jump start your smithing, the orc blacksmith in Markarth is marriage material, and she's a smithing trainer. You pay her for training and then sell all your loot to her since she now has a big stash of (your) money. Her house sucks though, we can't get any time alone together with her brother and her apprentice always hanging around!!!