I use a controller as well, but works fine with mouse and keyboard as well.
As for what to do - well, its true, not very much in the way of instructions here. As I mentioned in the other thread I referenced up here, its a game where you set your own goals, and are free to do what you want.
I’d suggest trying to follow the journey as profanicus mentioned as a general guideline (You can enter the menu and see more journey options than just the three in the screen), but other than that, just explore a bit, build a bit, and try to move a bit further north or east when you are getting stronger, and getting better equipment.
If you like goals, the first one could be to get a house going near some iron :-)
Oh - items in the respawn after a small period of time.