That's kind of the point of the game: Let's get to the bottom of this dragon business.
And yet, the very second I'm told to go somewhere, it becomes direly important that I go literally everywhere else in the world first. But like all young punks with authority problems, I'm mostly just doing it to see where the limits are. Are you going to let me walk all the way to that mountain in the distance, Skyrim, or force me back to the quest with some bullshit invisible walls?
Am I supposed to save this beautiful maiden, Skyrim? All right. Is it cool if I just ... don't?
Oh, you want me to fight the usurper, Skyrim? Sure thing, but can I buy a house and spend an hour arranging the books first?
Unfortunately, Skyrim's answer to every one of those questions is a firm and resounding, "Yes. Absolutely. Go ahead and do all of those things whenever you want."
And that really, really,
"God, I'm so sick of having all of this freedom." -- Me, I guess?
Because I want to go save that wench, fight that bastard usurper and fell that dragon. I really do. It looks fun! Way more fun than introducing the Dewey Decimal system to Whiterun, at any rate. But you need to force me over there first, because I'm just not going to do it otherwise. I'm not faulting the game for giving me freedom or anything; I totally acknowledge that this is a personal failing within me. This terrible habit -- of scouting out every single other pathway before the main one -- may be a leftover impulse from older RPGs, where many areas became inaccessible after you advanced through them. So if you wanted to make sure you found all the secret spells and legendary weapons, you had to explore every other path before the right one, otherwise the story might drag you, kicking and screaming, away from the best toys. That's no longer the case with modern games. Most let you visit and revisit any area at any point, but it's too late for me: The behavior is learned, and the damage is done.
I'll harvest every fucking cabbage in this field before I so much as glance at the dragon's nest, and you can't stop me.
Even though I