Of course many people have also had problems trying to go directly to main plot quests without exploring or doing any side quests.
A general rule of thumb is if the head dragon slayer (or the dragon knight, after you meet her) tell you to do something, feel free to delay as long as you wish, or can, before doing it. If you are told not to do something, though, it would be a good idea to make a new save before trying it.
