What's the best ways of starting the game depending on your build? What is the first I should do if I was a Archer or a Warrior? Is there a
weapon I should get right after the Tutorial or a armor? Should I start one of the Guilds as fast as I can or should I wait?
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These are just some of the questions I am wondering on. Any help would be appreciated.

Just do what you want, there's no real "Best" way to start it.

Well I'd find the Guardian Stones - and pick a relevant birthsign.

Fully aware of both of those "tips".....
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I know there is now best way to start the game, but there are some ways that are better than others.
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Example
Some people say that you should got to a inn and get a Katana sword in level 1.

Well, I like to get either Faendal or Sven to chop wood for me for like an in-game day or so, that way I have some spending money right from the start.

'Katana'?

I don't know who you've been talking to but are you sure they're playing Skyrim? The nearest thing is the Ebony Blade (lv. 20 req.) or swords from the Blades, which whilst I suppose it plausible at level 1, isn't from an inn.

For a warrior, you could attack the &^%* out of whichever super-friendly, essential character is escorting you on your escape. Lets you slap on some easy skill levels. I suppose a destruction mage could do the same.

Once you reach Whiterun, grabbing Mjol as a follower is pretty easy, and she's quite good at low levels.

Mjoll is in Riften.

Actually, you can get a blades sword from the Sleeping Giant Inn inside Delphine's secret room. You get access to that area after you retrieve the horn of Jurgan Windcaller.

Ah I see.
Well they're just generic steel swords with nice looks anyway.

Yes, Im sure that I'M talking about Skyrim as I have done it myself..... You can get the Blades Sword (Aka Katana) from a Inn in level 1 before you even reach the Greybeards.


The Blades Sword is better than the regular Steel Sword.
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You can get the Blades Sword from http://elderscrolls.wikia.com/wiki/Nightgate_Inn

Yes that has been addressed if you read.
A tip: don't bother getting it. Unless you use a weapon purely for style, that is.

If you're playing as a warrior it is somewhat logical to join the Companions in Whiterun, but as people have said before, there is no real 'best' way to play it. There are some items that you can obtain early on that can be a great help (like the Thieves Guild armour), but a lot of these are leveled, so there's no real use in getting them early. You're best off just playing the game, useful items will come along the way.

As I said the Blades Sword is at the rank of Ebony Sword, making it a good sword for the first 10-20 levels.
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And the inn I was talking about is the http://elderscrolls.wikia.com/wiki/Nightgate_Inn

There is the Axe of Fiery Soul Trap in Ironblind Barrow, the game gives you two helpers to clean this dungeon. The dungeon is short and the followers are aggressive against opponents.
This is a good starting point for a Dark Night/Necromancer because of the loot available.
My latest characters have started heading back to Helgen from the Gaurdian Stones and working thier way to the Alchemists Shack by heading past a Stormcloak camp and Haemars Shame. The Alchemists Shack has the bonus of being a free starter home, and there are a lot of small quests in and around Ivarstead that can be done with a lower level character.

Thank you!

Dont know how far in you are yet, but I always do the smithing tutorial first and craft & upgrade my own armor before I get to bashing stuff. Then I usually work the Riverwood valley for experience and a few levels before I head off.

Er no it isn't. It's just about as good as steel.

http://www.uesp.net/wiki/Skyrim:Blades_Sword#Blades_Equipment

As a matter of fact, with base damage of 11 it's as good as elven. Steel has base damage of 8.
Ebony, however, is 13, so OP had wrong information anyway.

Thats if he wants to play cheaply and if he has a dinosaur brain

Dump your updates and proceed to beat the crap out of whoever you're following during the "sneak" part before the sleeping bear.
Walk out of the cave around level 20-25 ish.

What Uncle Alchy said.