I'm doing the main quest and I just arrived at the part where you meet Caius Cosades for the first time. Once there, he tells me to go buy myself some gear, join the fighters guild or the mages guild and when I'm ready, come back to him for orders. But whenever I try to get "orders" from him, he just tells me the same thing. Help please?

Main quest starts after you
Main quest starts after you are level 4. Probably you haven't read installation instructions so you didn't know. If you are higher than level 4, then you have a problem...