You choose your character and you head out into the world, well actually the world is pretty small and fenced in and you only really get missions from the
princess which usually tells you the same thing, that you need to enter a certain
dungeon and
explore it and bring back something for her.
Beyond that, you most likely know the drill:
explore Hyrule, discover magical items, clear out the
dungeons, and reunite with the
princess.