I've never played a magic-user properly in Morrowind, so I can't help you there.
You don't get experience at all. Instead, whenever you use skills you work towards raising them by a point; each level up requires 10 points of raising major/minor skills. So, for instance, if you have axe as a major skill, and you use your axe successfully you will eventually raise your axe skill by one point. 10 of those in any combination of major/minor skills will level you up, where you can raise your attributes (strength etc) by an amount proportional to the amount you have raised skills that correspond to those attributes. So if you raise your alchemy skill by 5, you might get to raise your intelligence by 2 (or something, don't know exactly the numbers
). Killing stuff etc doesn't give you experience, just practice using your skills. The highest level I think is something like 87 - basically when you've raised all your major/minor skills to 100 that's the highest level you can reach (there are tricky things you can do, but that's fairly high enough I think
).
Tips? Walk about and explore and practice your skills. Join as many guilds as will have you and don't get overwhelmed by the scope of the game because it's huge and easy to get sidetracked and forget about stuff you're supposed to do (like save the world - that's not a spoiler, every game involves some sort of worldsaving I've found
).
You can be whatever combination you want - rogue/wizard is a good way to go. Create your own character at the start by putting together a combination of major/minor skills that fit.