My advice: Don't. Weapons have many drawbacks, including the fact that you can be disarmed and the fact that weapons break if used too much. Instead, just start with high STR and your unarmed combat will gradually improve, becoming quite good by the end of the first level.
Keith_I2: I chose a pre-defined character. I equipped a hand weapon but I cannot swing it! The Axe was included with the ready made character.
Ah... S***! why didn't the game manual say to first hold down the rmb and move the mouse?
timppu: Sounds like how it works in e.g. Daggerfall, which makes sense I guess if both games are from Bethesda.
I hate Daggerfall controls though. Far too cumbersome, looking up and down etc. I guess mouselook wasn't yet that common.
I personally don't like mouse look, as it means that bumping the mouse can change the view suddenly. In fact, I generally don't like looking up and down in the first place.