Welcome to Morrowind, Jen, probable the second most popular game on this forum (behind Divinity). Yes it is very pretty but the characters are very ugly, except the humanoids (breton, imperial, nord). Just for fun, strip down to nothing and run around town naked talking to people.
The thief classes are probably the hardest to play in this game, I suggest starting a regular fighter and joining the fighter's guild in Balmora once you get there, the first quests are pretty easy there. Before that, though, you will want to stay in Seyda Neen as there are some very easy quests there which can get you some money and other stuff to get you started.
IMO, level 1 is the most difficult part of the game, it seems to take forever to find things to do that raise your relevant skills, but eventually you move on. Just so you know, you can also join the mages guild in Balmora, even as a fighter, and do quests for them, as well as the legion, the temple, and the assassin guild.
If you really want to play a thiefy type, make sure to get at least one or two different weapon and armor skills, preferably short blades and light armor for dexterity, and focus on skills like sneaking, security, speechcraft, and acrobatics or athletics.
Pickpocketing is dependent on your sneaking skill and is very difficult to pull off at low levels. Other ways to get what you need from someone is to use speechcraft by bribing/flattering or threatening/taunting them.
Cammona Tong are not the same as the thieves guild. That said, I would not advise you to try to kill them at level 1.