OK, first thing: you are aware that you should search ("S" key) after each combat, right? That's the main way to get loot in the game and it's absolutely critical to success. You can rest after the fight before searching if you need to, but if you leave that space then the treasure will be lost. Make sure you have your robber try to disarm any traps on the chests you find. Your sorcerer can also check if there are any traps using magic (it's one of the options on the menu when you find a chest).

Are you still in Sorpigal? If you haven't tried exploring the caves underneath Sorpigal yet, you should do that. However, if you find some portals down there, it's probably best not to enter as they will lead to some tough areas.

Once you've explored the caves under Sorpigal, you should head outside and look around the overworld a little. If you stumble into some tough fights, try going somewhere else first. I ended up heading north first, on my way to Erliquin, and that worked out OK. But other directions work too.

There aren't many quests in the game, most of it is just exploration. But the statues in Sorpigal give you some hints about things you can do later in the game. Later on you'll find some quest-givers too, but I don't want to spoil too much. Just start exploring, mapping out areas, and gaining experience.

Oh also: I used the cluebook to look up item stats since the game doesn't really tell you which items are better than others. To minimize spoilers, I just searched the PDF for the item in question. This does obviously give minor spoilers, though, as some items are cursed and this will warn you of that. Still, I liked it better than having to guess which items to use. The bluebook is included in the extras for the MM 6-pack here on GOG.