How do you select the one to follow, seem random or race dependent for me, my khajiit always get the imperial but other even the high elf get stormcloak.
Found I switched follower a bit, first one is stormcloak then an imperial who might change again to stormcloak.

I think it's easier to follow Ralof at the beginning, whichever side I'm planning to join in the civil war. His blond hair sticks out more and he's easier to ID.

Both Ralof and Hadvar are in each and every intro sequence. You follow Ralof first then Hadvar - then at the Keep depending on which door you enter or which character you follow you chose that intro. The implications for the rest of the game are minimal depending on who you pick.

You can still pick either faction to join, regardless. The benefit of following Hadvar is stormcloak gear and access to take without stealing Alvor's steel/iron ingots and gear at his shop. If you follow Ralof you'll get a free set of Heavy Imperial Armor and access to some random items Gerder (sp) has.

Ironically the characters I chose to go Imperial I've followed Ralof and gotten some heavy imperial officer armor so I could look the part.

In terms of the OP's question/issue, I think the spirit of all TES games is exploration and checking everything out. On my first go through I didn't have it all nailed down in terms of where to go etc. However I went through everything else so there was no option to go anywhere but through the roof, and into the keep.

A funny side comment, if you run near General Tullius and hang around him, he yells "Run you idiot" which I found a little funny, considering your standing there (like an idiot) while the city is burning and his men are dying.

Hornplayer, like you, I played Oblivion for years and loved/mastered it. Like you, I am not 21 years old. Unlike you, I am 67. I had lots of problems--the same as yours--at first. Finally, I got through the hole, got outside followed one of the dudes (it really doesn't matter which) and he untied my hands. I was scared at first that I would never be able to enjoy the game. Now, I am 43 hours in at Level 20 (probably much slower than the wizkids) and having a helluva time.
Hang in there, the action is so fast in that first few scenes that it does seem confusing. Then, as others have said, all will calm down and you will be on your way to adventure, complete quests, whatever you want. Merry Christmas.

After you follow Hadvar for a while, you come on Ralof and they shout trash talk back and forth at each other. You should get a quest update on your screen saying to follow either Hadvar or Ralof into the keep. If you keep going straight, you're following Hadvar. If you hang a right, you're following Ralof, the blonde guy in blue armor who was on the cart at the beginning. It happens pretty fast so if you're just blowing through then you could miss it.

Thaimex -67? How long have you been a games?

That first part scared the crap out of me.I thought I was never going to be able to play this game.Everything happened so fast and the controls were different and I had no idea what to do.I didn't pick who to follow they seemed to pick me.I just kept running until things quieted down and I could breath.One thing I always do is play for a couple of levels until I get the feel for the controls and see how everything works and then I start over and things go much smoother.Sometimes I feel like a fish out of water playing with all these "kids" but they have been very helpful to this old grandmother.Take your time and come back whenever you need any help.Enjoy!

The various keys only get activated as the first section of the intro unfolds.
space-bar for jumping across to the inn.

Just want to add that the official guide is good and worth getting...IMO
But get it as a data resource; atlas etc; not for hand-holding.
And the wiki is good too.