Having problems with Fallout 3?

So I finally got Fallout 3 for the PS3 Game of the Year edition with all 5 add-on packs.......I thought it would be like GTA only less people. Like. As in advancing the plot-wise the same. I have no idea what to do. I just got out of the vault (after about 3 hours of playing...) and although it is a beautiful level/world design I keep getting killed by giant moles or mutant dogs. Don't get me wrong i am a fairly decent gamer I'm just not used to this sorta game play. Can anyone tell me where to go and why you have to go searching for hours to advance the plot. And if anyone knows if there is a quest arrow you can enable and how that'd be a lot more helpful then just telling me what to do.