Well, the the next bit is to decide what you're going to do there. They have a freaking great bomb in the centre of the settlement. There are people in Megaton who'll want your help either way. This is where you start to define yourself as 'hero of the wasteland' or 'biggest bastard in videogames'. The shooter bit will kick off later, you've got some formidable enemies waiting for you out there. I do recommend, however, that you don't trash Megaton. Its a really useful base later on as you're exploring the wider world.
I know where you're coming from, it is a slow start and it's very non linear. However, this really does allow for a truly memorable and immersive experience. The Fallout world is superbly realised and the myriad little sub plots give it real life. Totally worth persevering with.