It's not the no-cd crack, Morrowind just takes some patience when it comes to finding things out. Caius will give you another quest if you're level 4 by the way and I suppose you've already done the duwemer cube quest right? There's quite a lot to do if you join one of the noble houses. I recomend Hlalu for a fighter type (as you seem to be) Redoran is a little bit on the poor side and Telvanni is very focused on the old magic users. To join Hlalu simply travel to the north east section of Balmora (that's the mansion district) and you'll find the Hlalu council hall there. Inside the hall you can talk to a dunmer (her name eludes me) who will let you join the house and give you the first few quests. Joining a house will eventually get you your own house and will streamline some of the aspects of the main quest.
As an alternative you could join the Imperial legion. To do this go to Gnisis via silt strider. I seem to remember you can go streight there from Balmora, but if you find it's not an option, you could travel to Scyda neen and get there from there. In Gnisis you can get directions to the local commander from any of the local legionaries. The legion don't pay that well, but they do give you armor and weapons and the first quest is interesting (mind those quama soldiers).
Leveling up is a real pain in Morrowind to start with though. If you don't mind cheating, hit the tilde and type:
player->additem"gold_100" %ammount of gold you want%
this will give you some gold you can use to buy some training.
It's a good idea to improve non-character (not major or minor) skill at low levels as it gives you a stat bonus, but doesn't level you up. When you level up you get stat bonus multipliers dependent on the number of skill levels you gained in associated skills.
Hope this helps. For loads of details on morrowind it's worth checking out the elderscrolls comunity:
www.elderscrolls.com
you can find a load of stuff from the links page at above URL.