What is the most logical next event?

How to escape helgen in unbound in skyrim
Customize your character.
For the first five or so minutes of the game, you won't have any control of your character, beyond moving the camera around to look at your surroundings. You're handcuffed, riding in a wagon with fellow prisoners.
You can't skip this dialogue, so sit back and listen. After reaching the destination, your character will exit the cart and is approached by hadvar, asking for your identity.