Morrowind just takes a bit of getting into. The first time I played it I played for around 30-60 minutes and thought it was crap. Came back a few months later and knuckled down. Played 2-3 hours and absolutely adored it. Played well over 100 now, haha. Though that was after installing good mods. Makes a big difference.
Edit: Oh, and don't forget it's an RPG. I tried to play it like an action game the first time around (more like Oblivion is). Role-play it and it'll be way more enjoyable.