Ah ok...
So you can start with any quest you want... chose an easy first or a difficult one... that's up to you.
If you pick a difficult (*****) it could take some time to get all the material you need and as sid there, you have to finish it to start the next.
Yes you can quit one, but then it's gone for good and you cannot start it later again ... happened to me a while ago and then i was really angry bout myself cause i wanted that item ... well well
You cannot fail, cause the quest will stay open untill you found all the material needed to complete it or until you quit it.
This thread could also be helpful for you:
http://kofk.de/viewtopic.php?f=45&t=22100
Oh and you can take a look at all the quests available for you ... they won't start until you accept them.