I can't get Malborn to take any weapons from me..he says thanks then walks away, leaving me no weapons at the party..am I missing something? I've tried to give him stuff OVER AND OVER!
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Stop right there criminal scum. Our The Elders Scrolls V Skyrim Walkthrough provides strategies for the main quest, crafting tips, and secrets about guilds.
First you'll need to make a character. What kind of hero do you want? Each race has different base skills and a special power, but with enough hard work you can master most anything.

Redguards, Nords, and Orcs have an advantage in close range combat. Redguards specialize in one-handed, Nords Two-handed, and Orcs in Heavy Armor. There are rogue type races: Argonians have lockpicking, Khajiit sneaking and Wood Elf Archery. For slight magical advantages Imperials have Restoration, High Elves have Illusion, Half Elves Conjuration, and Dark Elves Destruction.
We picked a hearty Orc melee-caster and while we mainly used close range combat, we mixed up some other skills that will hopefully assist any build.
When you first gain free control of your movement you'll just be following NPCs: first a Stormcloak soldier that will teach you the basics of running and jumping. Second will be Hadvar who will brief you on the basics of combat. The latter will release your prisoner bindings and take you into a small armory. Search both chests in the room to uncover some Imperial Light Armor and a one-handed Iron Sword. Don't worry if you want to specialize in magic or two-handed weapons. You'll get those soon enough; in fact if you go into your magic menu you'll always have simple flame and healing spells you can wield.

After Hadvar opens the gate you'll fight against two rather simple Stormcloak soldiers. Strategy is rather minimal here. Block their attacks and countering with a normal blow will work fine. If they do guard use a power attack to stagger them. Take out the one with a two-handed sword first and stronger damage dealers always pose a greater threat. If you are going to play as a two handed-character it's a good idea to loot his sword.

Keep following Hadvar and he'll lead you to another encounter two more easy Stormcloak soldiers. After killing these enemies, be sure to grab any spare potions from the nearby barrels. When ready, move on and you'll come to a battle between the Legion Torturers and two more Stormcloak Soldiers. In most cases your allies will deal with the enemies before you get a chance to attack. You'll want to read the books laying around the tables and many published novels will raise your skill points. Additionally search the nearby sack to gain a few lockpicks.

If you're going the mage or rouge build you'll want to open up the cage on the left. The lockpicking mechanics are the same as in Fallout 3: You'll need to adjust the lockpick into a certain position before moving the lock with your dagger. If you get some resistance (and vibrations on consoles) stop turning your knife and readjust the lockpick's placement. Inside the cage are a few gold coins, a poition of Minor Magika, a Tome of Sparks (Destruction) and a dead mage. Loot his corpse if you want to look the part of a caster.
Even though there aren't any other actual good treasure behind any of the other cells and caged doors, if you want to boost your lockpick skill take the time to unlock any cage you find. Either way talk to the younger Torturer Assistant and he will follow you shortly as well. Despite how intimidating he looks, this fellow will die rather quickly, so not need to get attached. Head down the next hall for a fight with four more Stormcloaks. Two are below in the water, while the other two are above on the bridges. Split up from where ever Hadvar goes and clear out the enemies. You might notice some multicolored goo on the floor. This is highly flamable, so if you use your flame magic you can start a blaze. Be careful with this strategy, as this fire can harm anyone including allies.
Once the Stormcloaks are dead, continue down the path to encounter three small and two large Frostbite Spiders. They can easily poison you, so it's a good idea to have your healing spell or some healing potions handy. Another good alterative is to let Hadvar go in sword swinging. This will give you enough leeway to attack the enemies from behind.

Continue to the left and you'll find a sleeping bear. Hadvar will now hand you a bow and a few amount of arrows. You should now crouch into a sneaking position to keep from being detected. It's up to you if you want to sneak by or snipe down the bear. If you go for the latter, let Hadvar get into melee range and tank the bear. With his health and strong sword the bear isn't much of a problem.
Continue further and you'll find the exit. If you were unhappy with your racial choice or ability scores you'll have one last tiem to change your character and appearance. Congratulations on escape the Vault…er Helgen.