After completing the prolouge you are able to make a choice.
Join the Stormcloaks - For this option your going to want to go to Windhelm and speak to Ulfric Stormcloak located in his keep.
Join the Imperial Army - For this option head over to Solitude and Speak to Rikke in the castle.
Both are intresting questlines and will net you all the achievements related with the civil war.
Credit to: Heroic Celt