What Do I Do Next?
I hear this all the time. New Citizens fresh off of Orientation Island are eager to explore. When they land on Help Island instead and find that it's another sort of orientation island, they want to leave right away to the mainland. They miss a golden opportunity to learn. Others will stay behind to see what Help Island (aka HI) has to offer. These are usually the citizens who stay in SL and use the grid to it's potential.
What do I do next? Well HI is, as I said before, an orientation island of sorts. It is a learning island full of tutorials, games and models of the things you will generally find when you get to the mainland. It's a great place to hang out for a few days learning how to build, how scripts work, how vendors work and the different things you will need to know so you're not such a "noob" when you get to the mainland. Things like walking, gestures, flying. It's a place that will get you accustomed to your new Second Life.
What do you do next? Well my suggestion it to take in all of HI. Explore it, take the tutorials - no matter how boring they may seem - talk to others who are new like you and learn from each other.
Friendships can be formed quickly and if you want to explore with other like minded individuals, it's better you find them on HI where the excitement of exploring is still fresh. You then can both leave HI together.
One thing that's very important to remember. Once you leave HI, you cannot come back to take the tutorials again. Don't let that discourage you though, there are libraries and classes you can take to get you caught up on the Mainland. For building a suggest The Ivory Tower of Primitives (Prims) and New Citizens Inc (NCI). Both can be found by clicking the search button on the bottom of your screen and entering the names under the places tab.
Good Luck in your Second Life. Hope to see you in-world.