Originally posted by Zigzag:

Hey, enough with Joe Dirt, what do I do?

The very start is where you see those Standing Stones with the chains on them. You are supposed to summon and beat a Boss per zone. Each boss has a stone that tells you where his Altar is at, then you need a certain number of a certain item to summon him. Once killed he will drop his Head and an item that lets you progress further. The Head you are supposed to hang on the Starting Stones so you can get access to a Special skill.

The first Boss is Eikthyr. You will need 2 Deer Trophy and use them at his Altar to summon him. Once beat, you get a couple Hard antler from him, so you can build the first Pickaxe to destroy Stone.
If you hang his head on the Stones you gain access to his "Forsaken Power" which "Reduces stamina cost of running and jumping by 60%".
The other bosses work similar, you have to find a "Vegvisir" Stone that shows the location of their Altar on the Map, then travel there and bring a sacrifice to summon them.