Create a character who is decent at both mecha and personal combat. One of the automatically generated characters should do nicely. Speak to Megi in Hogye and select one of her offers; this will give you some experience and a starting mech. Find the mine entrance in Hogye and practice combat there. You'll earn a lot of XP there; return to the surface for healing when you need it. At the bottom of the mines you'll find an elevator. Get in and claim your second mecha.
After that you'll want to go to Snake Lake. Assuming that you didn't waste too much time in the mines you'll meet a bounty hunter who's searching for a weapon smuggling ring. If you speak to the guardian and the bandit in town you'll learn that an important data card was flushed down the toilet. Locate the entrance to the sewers; it should be a yellow dot surrounded by some patches of dirt. Go down to the first level and you'll find the data card there. Bring it back to either the guardian or the bandit and you'll get to go on a mission with them, earning some cash and an ally.
Somewhere in Snake Lake there'll be someone who wants to speak with you. I can't tell you exactly who it will be or what they're going to say because I don't know. Your character's personal story is randomly generated each time you play. Try to discover rumors by chatting with NPCs, and locate the person who wants to see you.
The bottom two levels of the Snake Lake sewer are good for more XP, and you can find a lot of treasure in Bone-Cracker's lair on the third level. Other places that may be interesting include a shrine in the park's nature trail (useful if you have the Mysticism skill) and some machines in the Corporate Zone (useful if you know Science). There's a hidden store in the waterfront where you can purchase cybernetics.
Next you're going to need some reputation and some combat practice. Leave Snake Lake, follow the highway north to Gyori and enter town. Go to the Warhammer Arena and fight there. Afterwards, head east to Namok and compete in the Colosseum. Also remember that there was a mecha arena back in Hogye. Once you've earned a bit of renown you may want to think about getting a job. The Guardians, the Solar Navy, the Federation Defense Force, Kettel Industries, RegEx corporation, BioCorp, and Hwang-Sa Temple may be willing to accept you as a member. Joining a faction earns you a new mecha, guaranteed missions, and rewards each time your rank improves.
At some point in time you'll probably find yourself without a mecha. This is a very bad situation to be in- if you don't have enough money to buy a new one right away, and you don't have any spares lying around, your best bet is to find some bounty hunting jobs. Use the buses to travel to Snake Lake or Namok and ask the bounty hunters there if they have any contracts available. Town leaders, guardians, and monks may also have personal-scale missions worth doing. Hopefully you'll be able to save up enough cash to buy a mecha soon.
There are a number of non-random adventures you might get involved in. If you visit the Factory in Gyori, Elisha Kettel may offer you a dangerous job. In Namok you'll find a professor whose research assistant has gone missing. In Last Hope, the westmost town in the Federation, you can discover what horrors BioCorp has been growing in its desert lab.
Keep following the leads on your personal story and eventually you'll get to the endgame. There will be a gigantic battle with your arch-nemesis, and if all goes well you'll win. The end.