As you start playing, you should start focusing on the main quest as it is going to be a great source of EXP which will let you advance quite a lot without much hassle. The main quest is a great source for EXP, gears and unlocking features in the game, so I definitely suggest that you shift all of your attention on that early on.

You will also have plenty of sub quests (side quests) which will give you EXP and items as well, so whenever you see that you have some side quests available, you should do them. Also, If you are only focusing on the main quest and kinda neglecting the side quests, you can do them all when you will want to level up some more, or cannot advance any more in the main quest (because of the level cap which you haven't reached yet).