Fine.
My question is, can I ignore that and do some side quests 1st?
New to this game, I'm afraid there might be window-closing quests (as in Dead Rising or something) that finish w/o me if I were to choose to go elsewhere.
Thanks!

Then again, one could roleplay and just go on and play parts that feel urgent. That I always do myself. Those make the majority of Oblivion's and Skyrim's main quests to be rushed through for me, though. There aren't many parts in them that feel like the hero could take breaks. 
so very very true!

