Morrowind is one of my favorite games ever. Here are my suggestions:
1) Buy the game guide. Yes, I know, most games you don't need the guide. But, even with Gamefaqs, the maps alone will help you finding locations (it can prevent walking around in a general area for hours). Also, the guide does a lot to dig into the deeper storyline. Morrowind actually has probably the deepest story on the Xbox. But, you're likely to miss 95% of it if you don't know what your looking for. It also gives some nice hints you can do early if your getting your ass handed to you.
2) Make the right sort of character for you. Pick the skills your interested in, but make sure you have at least 1 weapn skill (maybe 2) on your list of major/minor skills.
3) Know what your getting. Morrowind is an RPG with some unique conventions. Because of this, know early on that you won't hit a rat every time if you swing at it. People get fustrated by this, but it's part of the game. If you accept these conventions, it goes a long way.
4) Multiple save files are a must. I'd keep at least 1 every 5 hours or so of the game, and when you save, always save as a new file (then delete old ones). For whatever reason, this helps some of the bugginess.
5) Don't needlessly kill. Yeah, you can do it, and it's fun (if you must, kill, then reboot your game), but you never know who you'll need. Killing anyone can close a door for you later, and you'll only get a message if you kill someone from the main quest.
You really need to take your time with the game. Experiencing the world and getting stronger is really the point of the game. I probably put 200 hours into the game without ever beating the main quest (bugs in the game prevented me from doing it). Morrowind also has issues (crashing, bugs, etc) that I can see ruining the experience for other people, though I always looked past them since there was nothing like this game.
One last note, after a few plays, pop in a few different Xbox games and boot them up. That will help to clear the cache, and your game should run smoother for a little while.