Oblivion and Fallout 3 are very different experiences from Morrowind. They've got a faster pace, they're more fleshed out, and they're more player-friendly.
Morrowind is a marriage of 3D graphics with early-90's PC RPG sensibilities. Interaction is sparse, story is barebones, the player is booted out the gate and told to do whatever they feel like with only a vague notion of what they're supposed to do, and the pace is slow. It's very much like a Wizardry game, but with only one character, realtime battles, and 3D graphics. Me, personally, I don't have a big problem with that. I like the way it plays, for the most part, and I don't regret the dozens and dozens of hours that I poured into it. But it's an acquired taste and some just don't have the time or the patience or whatever to dig deeply into it.
The only thing I can tell you is to get out into the world, do some quests, level up your character, and go explore some cities and dungeons.
