Morrowind was very tough, so you should have some sort of idea what to do.
Dont be affraid to run away from one strong enemy or a group, and then come back later or when your stronger or hire a companion etc...
I usaully concentrate on one portion of the map early on, like the area between Falkreath - Riverwood - Whiterun, for quite a while.
Hmm I might try that, I've been moving around an awful lot now that I think of it. Good advice.
Be aware of where you are travelling, some enemies are going to be scaled differently, and sometimes theres ones which are scaled above your level from the start of the game. Avoid higher altitudes to avoid dangerous creatures at low levels and learn fighting tactics for your 'class' of choice.
Sounds like you just need to get more familiar with how your character works and use more tools available to you Eg: alchemy poisons to help bring that thug down faster....he wont be doing much with a paralysis poison working on him.
Haha I suppose I've always been terrible at using poisions, I like alchemy but always forget to use them in a fight

Some very good advice though, I think I've been travelling around an awful lot and been coming across a lot of areas with higher scaled enemies.