One minute into the game and I am already stuck.
I am stuck in the Keep/tower with no way out.

I have read in online walkthroughs that the dragon is supposed to blow/blast a hole in the wall of keep but this doesnt happen in my game.
30 minutes in and I am still walking up and down inside the keep waiting for the scripted event to take place.

There was a big noise however and the the following text appears on screen: "press space to jump" but there is no sign of the hole in the wall/floor.

What gives? I am desperate to start this addicitve game. Please please please help me.

System:
PC running Windows XP SP2
AMD Athlon XP CPU (Not sure what speed)
2GB Ram
Nvidia 8600GT 256MB

Try starting a new game?

You're not losing much

Same problem after I started a new game...

Are you sure there's no hole? Perhaps check a video or something and make sure you're looking in the right spot?
I realize this sounds really stupid, but it's worth a shot.

Pretty sure. Spend a LOT of time walking up and down in that Keep looking for the hole.
Video? where? Can anybody sent me one, or even a screenshot will do. (or photo of screen taken with mobile camera).

Its the first flight up the stairs, you should see an NPC trying to move rubble then the dragon breaks through and kills him. I am not sure how it got bugged like that but reload your first save game it should be right after you pick your race/face features. Try it one more time. If that doesnt work you may be able to have a friend pick your race for you get past that point then email you the save game after the dragon breaks through. Very odd bug though.

Defnitely a bug. The NPC just sits there on the floor. Will have to get a savegame then...

all you have to do is run to the top of the stairs, talk to the guy, then run to the VERY top, where you can see a hole through the debris, try and get you're self through that, that should trigger the dragon.

Try and find a Let's Play for Skyrim; there should be some right at the start. You might be missing one important step that a Let's Play could show you as you go "Ooooh. Wow, I feel silly."

http://www.youtube.com/watch?v=tSCv8vOahbQ (The "running" cut-scene starts at about 23:38)

Edit: If all else fails press the tild (~) key and enter the following command: tcl (Toggle Clipping Lock)

Warning: Using console commands can disable achievements. If you care about them.