So the goal of the game is to beat the 5 bosses because it'll help Odin out basically. To do that, you need.. well a lot, you basically have to build a little settlement for yourself (or yourself and some friends) so that you have room for all the different crafting tables/add-ons . There are technically 9 biomes in the game but 3 of them only spawn towards the edge of the map so it's really just the 5 with bosses associated with them that you need to worry about.

Meadows:

• where you start
  
• usually where you find deer and boar
  
• advance by slaying Eikthyr. A small red runestone in the starting area places the Eikthyr summoning altar on your map. Killing Eikthyr grants you the pickaxe which is needed to mine ore.

Black Forest:

• You will almost always find this biome bordering the meadows that you start in. It's distinguished by taller trees.
  
• Not recommended to explore until you've killed Eikthyr
  
• Look for small hills with a door in the side leading underground into burial chambers. These are where you get the surtling cores that you need to make the smelters for processing ore into metal
  
• Chop down pine trees to get corewood and make a Stagbreaker asap
  
• Hold off on fighting the Elder until you have bronze weapons and the Finewood bow

I was gonna keep going but this is already a long post and should give you an idea of how to proceed.