Hey there and welcome to Ultima.
There are lots of things you can do to get started, those include:
1) Making friends, that is imperative, PSO is just not the same Solo. Be careful on who you make friends with though.
2) Raise your MAG, having a high level MAG helps you out SO much.
3) Take your time levelling, it's hard on Ultima but get to know the game before jumping to 200. Learning what to do and what you're effecient at saves you a lot of hassle.
4) If you're going to trade, make a locked room, agree with the person beforehand and use the trade window; note some items can't be transferred through it yet. Be smart, stay safe.
5) I can't stress enough, take pictures of your inventory and stuff you put in the common bank.
http://www.phantasystaronline.net/forum/index.php?/topic/9823-navgiation-topic-useful-links/ this was compiled by chuk, it has a list of useful topics made on the forums for quick navigation.
If you need any help or have any questions, feel free to contact me through the forums.
The game does have a messaging system but you will need to exchange guild cards.