Okay-- first (without even reading through the rest of the responses on the thread), there are two different concepts of what it means to "role play."
The first is to basically insert yourself into the game and do whatever is necessary to add to the realism of that-- to walk, get tired, sleep, get hungry, eat, get thirsty, drink, come in out of the rain, carry only as much as a person could legitimately carry, and so on.
The second is to create a detailed and fully developed character and basically just follow along and "play" that "role," whatever it might be-- to give the character desires and hopes and dreams and fears and then to just follow wherever that might lead.
I do the second, but I do it by very deliberately creating characters with just the barest outline of an idea, then simply following along and adding details to their personalities as the game goes on.
The one I generally use as an example is Bogmok, the Orc Mage. I created him as "an Orc mage." That's it. That's the only idea I had going into it-- he was an Orc and a mage.
On his first day out of the sewers, he went into Rindir's to sell off loot and buy a robe. I settled on the Tattered Robe, since I had this idea that he would be sort of humble and grungy. He put on his "new" tattered robe and walked out the door and the first person he met was Rochelle Bantien. He tried to engage her in conversation, and she dissed him-- gave him the "What do
you want?" response or something like that. And right then, part of his personality was established. I just knew that he was hurt by that-- that he suddenly felt little and ugly and dirty and unwanted and that that dejected him. And it just spiralled from there. When he went to Cheydinhal and the Orcs there were rude to him (and yes-- they're rude to everybody), to
him it was because he was an Orc mage and they looked down on him for that reason. When he finally made it into the Arcane University and tried to talk to one of the mages there and the mage said he didn't have the time to talk to him (and again, they say that to everybody) to
him, it was because he's an Orc and they looked down on him because he's an Orc. And, honestly, not a very good mage. When he went to Leyawiin and met Mazoga (and that was love at first sight) and she was rude to him, she was rude to
him. I know that she's rude to everybody, just because that's the way her character is written, but to
him, yet again, she was rude because he's an incompetent, unattractive, shabbily dressed Orc mage. When he finished up helping her and they were made knights ("God's goolies!") and she was suddenly nice and friendly to him, his hope surged. To
him, there was a chance after all-- he was going to win the love of this beautiful and powerful Orc maiden. Then when she just ignored him, other than to say she was going to go off and get herself some black bows and he could tag along if he liked, he was crushed again. She really didn't care about him at all. And he just felt that much worse because the last thing he really wanted to do was go off and deliberately pick fights with Black Bow Bandits-- an Orc could get hurt that way. Especially a poorly skilled Orc mage.
And so on.... All along the way, whatever it is that happens to any of my characters is interpreted through their eyes and their mind and means whatever it means to them. Even though I know that it's just a game and that the NPCs are doing what they're doing because that's what they're written to do, all of it's new to the characters, and all of it is seen by them according to their own personalities-- their own quirks and fears and doubts and desires. In the beginning, I generally have little if any idea of what those quirks and fears and doubts and desires might be-- that all just unfolds as I get to know the character. Sometimes they're established relatively early and then just built upon-- other times it takes a long time before a character demonstrates any really notable uniqueness. Sooner or later though, they all develop personalities of their own, and then I can just sort of sit back and watch as they live their own lives in Cyrodiil-- I just push the buttons necessary to get them to "play" the "role" they've fallen into.
And that's how I role. Play.

*edit to add* Now reading through the thread-- the alternative start mod that Dani mentioned is http://www.tesnexus.com/downloads/file.php?id=25591. It's far and away the best alternative start mod I've ever seen, and I'm taking this opportunity to both thank her for linking it here in the first place :bowdown: and to share it with anyone else who might be interested.