Right after opening the game and creating yourself a pirate, I would recommend doing the tutorial. The "Maiden Voyage", while it doesn't teach you much, it gives you an idea of where to start while you play.

After doing the tutorial, it's time to decide how it is that you want to play Sea of Thieves. There are multiple ways that you can, and each is for different play styles.

Gotta start somewhere!

The Ship
Different ships have different play styles. But they all have the same basic things all players need to know.

Damage
Cannons, giant sharks squids, skeleton ship raising from the depths, even just accidentally riding your ship too close to the shore and hitting the bottom of the ship on the ground. Whatever the situation, your hull will be breached and holes will form in the lower decks. And from these holes, water will spring forth and flood the lower decks. First, you will want to patch these holes with wooden planks. Then, using your bucket, scoop up the raising water and pour it OUTSIDE of the ship. I've had many times that I accidentally poured it back into the ship and just end up wasting time. Repeat this process until all holes are patched and the water is out of your ship. If you are in a fight you'll have to keep doing this while you take oncoming cannon fire, but you'll have to decide depending on the situations.
Another type of damage is the mast. Your mast can be hit and knocked over, essentially rendering your ship dead in the water. You'll need to go to the back of the ship and pull on the ropes to pull it back up. then, using planks, you'll have to patch up the mast in 3 places.

Food
Eating will keep your health and spirits high. Food restores health, and cooked foods will heal you more, or give you regeneration. You can cook food in one of the lower decks where the cooking pan is. Watch the food carefully until it has reached a nice, golden brown color to get the most out of it. I've found it easiest to just cook meats and fish.

Treasure
Treasure! A lovely thing. All pirates love things that shine. You will be able to get quests called "Voyages" from the different companies that can be found at outposts. They will provide you with one or more maps that will depict a usually nearby island. Just look around on the map and you'll most likely find it. Now on this map, you'll see a red X. X marks the spot. You just need to go to the spot and dig with your shovel. You'll hear a satisfying thunk when you hit it. Now this island might also have skeleton pirates on it, and they might spawn when you dig up the chest. Just be wary. You'll have to sell that treasure to the different companies depending on what type of loot it is.

Weapons
Weapons are all mostly preference. I would run the cutlass and one firearm. The guns are are just up to how you like to play, and different situations might need different guns.

This is a pretty simple thing, you might have a friend who can teach you the game, or some to learn it with. Either way, playing with friends is one of the most enjoyable was to experience the game. Just take it slow and learn at your own pace. I would however take an appropriate ship to your crew size.

1-2 is a sloop

3 is a Brigantine

and 4 is a Galleon.

So this can be a little bit of a turn away for some player. Especially new ones. Will you encounter toxic crew mates who will berate you for being a noob? Yes, most likely. But playing online with player who already know how to play might be the quickest way to learn. You'll pick things up by accident just by going along with your team.

If you don't have anyone to play with, or aren't a big fan of playing with people online, the solo sloop is one way of playing the game, however I don't recommend it as a beginner. You should most likely try one of the other ways of playing first, since there is a lot to learn, it can be pretty hard to do alone.

Regardless, you've decided to take to the seas by your lonesome. There are a few challenges to overcome, which are all amplified as you have no crew to help you. Here are some tips to solo slooping.

Attention
Paying attention to your surroundings is a very simple thing that might just end up saving your hide. Simply just look around every once in a while. Take note of any player ships nearby and check in on them regularly so that you aren't taken by surprise if they change their heading straight towards you. You can also use your spyglass to see what kind of ship it is, simply by counting the sails.

Cannons
Other people may have their opinions, by while alone I like to keep my cannons loaded, just in case some creature, player, or skeleton crew decides that I'm easy pickings. So I'd keep your cannons loaded and ready for a fight.

Inventory
Keeping certain parts of your inventory full might just end up keeping your ship above the waves. Planks, Cannonballs, Food, and ammunition. Keeping these full makes it so the no matter the surprise attack, you are always ready for a fight.

Managing Combat
Now this is the really hard part of playing solo. You are going to have to do everything alone. Cannon fire, repairs, driving the ship, all of it. Now in my experience, you are most likely going to lose most fights with players. Just do your very best, and don't feel too bad about losing battles.

Loot
Loot. Every pirate's love. This is one of the most thrilling parts of playing Sea of Thieves in my opinion. Taking your bounty and racing back to an Outpost to sell it all before a larger enemy ship comes to take it from you. And that's exactly how it should go while solo slooping. Any and all loot you earn, you should sell off as quickly as possible. Don't hold loot for too long, or you might end up losing it all.

Multiplayer as a whole, it can be kinda scary for someone just starting. You'll be yelled at for not knowing what you do by player that are saltier than the sea for being paired up with a noob. But everyone was a noob at some point. Don't be discouraged, just keep learning and you'll be a fine pirate someday! Some tips I can give are these.

Combat
Having multiple people on your ship means that you can focus on something else, such as repairs and water while your mates return fire. You'll just need to decide depending on the situation. There are many things that you should know about fighting other players though. Any good player will most likely open with cannon fire and then attempt to board you. They'll try to drop your anchor to make your ship a sitting duck. If you are killed you'll be sent to the ferry of the damned until you are returned to life. If they are on your ship you'll most likely be spawn camped while they steal your loot or just damage the ship and sink it. Until you get better at the game, losing player fights will just become a normal thing. You can try to use the same tactics against them, but without practice you'll probably just end up lost in the sea looking for a mermaid.

Sneaky little pirateses
If you leave your ship unattended for too long, other player might hide on it and do certain emotes, such as the sleep or lay down one, and just hide on your ship. If you suspect a player to be on your ship, first search all decks and behind boxes and such. In fact I recommend just checking the ship before setting sail. If you DO find one, shoot them and switch to your sword. Try to kill them. If you don't, and are instead killed yourself, decide if it's worth respawning. If you have loot on board, they might try taking some and leaving. If you don't, you can scuttle your ship and sink it with them in it. Although they will just escape. And you will lose any loot on board.

Just have fun! Too many people get frustrated at games that they don't get good at quickly and just give up. Just take your time, learn from your mistakes, and have fun. I mean, what's the point of playing a game if not to have fun?