"Unbound" acts as the tutorial for Skyrim and cannot be missed under normal circumstances, you'll watch a short video and then create a character. Once you gain control of your character, follow what each NPC tells you to do until you reach the Keep.
You then must choose if you want to travel, for a short while, with the Stormcloaks or Imperials. (this doesn't effect the story or who you side with, just initial items and rewards you receive)
After fighting through the Keep and caves, you'll earn this achievement.
Follow Hadvar or Ralof towards Riverwood, and activate one of the three Standing Stones along the way to earn the Blessed achievement as well.