Okay,to get started.
There are two worlds one is Outland and second one is Azeroth.
Outland is for levels 58 and furher.So dont go in there till you get required level.
Azeroth has two continents Eastern Kingdoms and Kalimdor.
Azeroth is your world now. :D
Have fun in there.

World of warcraft has 8 diffrent capital cities.
4 in horde and 4 in aliance.

City of Undeads in horde is Undercity its located in Tirifusal Glades.
The city looks like this.

Next city the city of Orcs and Trolls is Orgrimmar its located in Durotar.
And it looks like this.

City of Taurens is Tunder Bluff his location is in Mulgore.
This is Thunder Bluff.

Silvermoon is city of Blood Elfs.He is in Eversong Woods and this is the city.

Here is picture of all capital cities on Azeroth with all flight,ship and zeppelin paths.

Remember in every capital city you can teleport to any other capital city.
(There are portails in every capital city).

-Undercity



-Orgrimmar




-Thunder Bluff




-Silvermoon