First you'll see a short cutscene; a man called Diego will save you from some bullies. Talk to him and ask him anything you like, he will tell you a lot about the Colony.
He'll tell you about The Old Camp, where he resides. After you finish talking to him Diego heads to the Old Camp himself; you can follow him if you like, as he will take you right there and kill any enemies you encounter. If you want the most loot, however, it's best to get to the camp at your own pace. You have unlimited carrying capacity and absolutely anything has a trade value, so if it can be picked up you might as well take it with you.
First, go back towards the dock area and look around. You'll find an Ore nugget (the currency of this world), a Torch and some Beer. Now head back the way Diego was going.
The first creatures you'll encounter are harmless cockroach-like insects called Meatbugs. Kill them and take their meat, as it is necessary for an upcoming quest. Further along you'll find a chest. Open it and take everything inside. Head into the abandoned mine's entrance and grab the Pickaxe. Equip it. Head over the bridge to fight your first real enemy, a Molerat. Save here in case you die. You can grab the Rusty Sword and drop down off the bridge to equip it if you want to attack it more efficiently. Anyway, kill it and take its meat. There are also some miscellaneous items here.
Head on down the path. You'll come to some skeletons with arrows and Blueberries and other such loot scattered around. You'll also find an Old Sword, which deals slightly more damage than the previous one. Continue following the path. Eventually you'll reach a crossroads. On the right you'll see some guys in blue armour. Head over to them and talk to the one named Drax. Give him the Beer you found earlier (if you don't have one cross the bridge up ahead and look around the broken barrels) and he'll give you some hunting advice: when fighting Scavengers, draw them away one at a time by coming close enough and then retreating, similar to the "aggro" technique used in many MMOGs. You can learn more hunting skills from him later. If you head on into the hunting ground you can fight some more Scavengers. If you attack them close enough to the hunters or the bridge guards they'll kill them, but you won't get the experience (although you still get the meat).
Over the bridge you'll find the Old Camp, which is a good first destination. You don't have to talk to the bridge guards if you don't want to; as a rule, characters with generic names all say the same things. When you get to the gate the guards will demand 10 Ore. If you asked Diego about the Old Camp, tell them he sent you. If you didn't, offer to pay. Since you don't have 10 Ore yet your character will say he doesn't have enough, and they'll let you pass, but will return to demand a full payment again later. After one of them gets paid, neither will bother you again, and this saves you from having to fend off a extortion-induced ambush later. Head on into The Old Camp.
If you look behind the Old Camp, there is the wall of a cliff along which Scavengers are grazing; to either end are caves and, beyond both the western-most and eastern-most ends of the wall, are entrances to Orc territory, the western entrance barred by guards. Near the center are a series of ledges that can be climbed. Also this climb will be a cave to your left and Gilbert, an exile of the Old Camp. Finding him alone earns you some paltry experience, but he's not good for much else asides from that and the items in his chest.