You're not alone. Second Life has always had something of a steep learning curve. But just in the last couple of weeks, Linden Lab has (once again) revised the initial "user experience"...and, in my opinion, the new setup will confuse, frustrate, and lose a lot of newcomers. Here is what to expect:
You have created a Second Life account, and downloaded and installed the viewer software. You start the viewer program, and enter your avatar name and password on a login screen. After a few moments, you begin to see...something. Everything is blurry, and may be gray. You wait. After a minute or two, everything comes into focus...except possibly you. You see a foggy white cloud with your avatar's name above it.
Hopefully, this too will soon pass*, and you will see your avatar standing in a ... a place. It's a white amphitheater, set in a forest of rather pudgy-looking trees. Around the edges of this structure are six doorways, each with a label, corresponding to a category of destinations -- Art, Popular, Editor's Picks, and so on.
Use your keyboard's arrow keys to move your avatar around. When you are ready to leave, walk through one of the doors.
WHOOSH! You find yourself in another place. This is chosen randomly for you, from the category of the Destination Guide you selected.
Now, here are some strange things about this experience. First, the pudgy trees you see at that first island are not anything like the trees and plants you'll find in the rest of Second Life. SL has, in general, much more realistic landscapes. Second, the walk-through teleport you experienced is NOT the usual method of teleporting from place to place in Second Life. (For more on how to teleport, see this earlier blog post.) Third, although you have been sent to a random destination, you can't go back to where you were. Once you leave that initial island, you're considered an "experienced resident" and are not permitted to associate with the brand new people coming in. If you started SL with a friend, they are probably halfway across the grid from you, feeling just as confused.
So, here you are, in a strange place, with no idea of what to do next or even how to do it...no idea of how to find other places to go, or how to go there. Hi ho, young avatar...welcome to Second Life!
Here are a couple of lifelines for you. Click one of these links and it will log you in to SL at a place where you can actually find helpful people to talk to, and easy to understand tutorials.
Caledon Oxbridge University
White Tiger Help Island
Besides the doors, you have some slightly less-obvious ways to get off the island. The Destinations Guide is available, in the World menu. You can use that to make a more exact selection of your next location. You can type a SLURL in chat and click it to go there. You can use the Map, or the Search function, to find any destination within Second Life and teleport there. Good luck!
EDIT: As of April 7, a seventh door has been added to the exits at Destination Island. This new door takes you to the "Linden Realms" game. There you will find more of the pudgy vegetation, but also have a chance to earn some $L by collecting crystals while avoiding rock monsters and other hazards.
*If your avatar continues to look like a cloud, or a featureless white egg, you have a bad connection between your computer and the Second Life servers. Don't use wireless or satellite internet for SL. More things you can try that may fix the problem can be found at this link.