[TheCrimsomBlade]

Learn Enchanting by finding a trainer and train over and over until you run out of gold or wear out the trainer and they can teach you no more.
then read the hand book on how to use soul gems and how to capture a soul. Next go on the quest to find Azures Star. (SEE BELOW)

S-P-O-I-L-E-R to find Azura's Star
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First Travel to Azura's Shrine located in the South East corner of Vardenfell just a little north east of Tel Branara. It's hard to miss as the Entrance is by a very Large Statue of Azura. Enter and click on the Statue inside to talk to Azura to find out that she is a Priestess apprentice living in seclusion in the Sheograth region and that Sheogorath has sent some
daeadra to disturb the priestice.
Azura might might tell you that the island is north of Dagon Fel, when it is really northwest of it. There are 4 islands on the northern most border of the map the second from right to left holds both the priestess and the Daedra. You will find the island occupied by a number of various Daedra including Ogrim,Atronach, a Golden Saint and Hungers. Kill all the Daedra that you want but, you really only need to kill the Golden Saint named Staada near the priestess hut (but DON'T disturb the Priestess). After you kill Staada the Golden saint check the body and get tne Signet Ring as proof that Sheogorath has been meddling with and has tried to disturb the Priestess. Take the ring and travel back to the south and return to the shrine of Azura to receive your reward,The Azuras Star, the Reasuable Soul gem.
Like every soul gem it needs to hold a soul in order to be able to enchant a weapon or armor but it is empty when you get it so you will need to learn how to use soul gems. It"s Got a Value of 2,000,000 gold (2 million) so, save it for the expansions if for nothing else.