First playthrough

So I already know all the lore and like everything that happens in both games, I absolutely love watching videos on this games story. I downloaded it yesterday and played for roughly 45 minutes. My first run I went to the left and down the prisons, and then got killed by a guard when trying to sleep. Also I immediately got lost on the way lmao. In the second try, I went straight forward, and looted most of the place, but then I didn't really know where to go. Can anybody tell me where I'm supposed to go first? Like straight ahead or into the basement on the left at the start? Ty for any help