You chose to begin the normal way by becoming a prisoner to the Imperials.
You awake sitting on a cart with three men. One of which is in the classic rags that you yourself are in, another is in what looks to be a noble man's attire, and the third is wearing his Stormcloak soldier garb. The third one notices that you are away and greets you. He introduces himself and the one on the rags does too. The first, in the rags is Lokir, and the third is Ralof. Lokir and Ralof get into an argument and Ralof reveals that the man next to you, whom is gaged, is Ulfric Stormcloak, leader of the Stormcloak Rebellion. You approach a walled town, Helgen. There are soldiers every where and you see a man on a horse who is in an Imperial General's uniform, which must mean he is General Tullius, the military governor of Skyrim. He talks with some Altmer (High Elf) woman who looks to be a Thalmor Justiciar. The cart eventually stops and you all exit other Stormcloaks exit carts and line up. A Nord in an Imperial Uniform calls up people who were captured. Lokir's name is read and he runs. An officer calls for the archers and they fire. He is dead. Ralof and Ulfric are called and go to where the other captives went. The Nord reading the names doesn't find your name on the list and asks:
"Who are you."
That's a good question. Who are you?