The capital doesn't yet exist, but give it a few hours and it will. The game is rather confusing to start (I still don't understand it!), I suggest you create another character in an established realm as well to get a bit more of a feel for it.
If you hit 'Map and Travel', you'll get a Google Maps-style map. It'll be centred on you at Estrimen. If you zoom out a bit, you'll be able to see a large lake - we're starting the kingdom on the North-East shore of that lake. You can also set waypoints for your character to travel to, like other settlements, from that screen.
The settlements in this part of the world are all little better than groups of peasants living in hovels. That's why your troups are a feww randoms.
I suggest you head towards the Tear of Armok (the lake) for a bit, and then pick a settlement that looks juicy and take it over. With any luck
Ehndras (paging Ehndras...
) will copy his starter tips and tricks into the OP, and you can use those for reference for what to do after arriving in the settlement.
Heck, if you like you can take Estrimen over, but I think Ascalon will come for it soon.
For the OP, my characters:
Sarden Thelassan, my main, is in Castle Wyvern.
Peran Thelassan, my other main (now more main), is travelling from Estriman towards the South shore of the Tear.
Mirran Phyrex, one of my secondaries, is in Ground Zero in the Void, and Norle Shen Phyrex is in limbo heading to the Lowlands.
So far they've proved very adept at avoiding Ehndras's attention...
I'm going to try to hit Wugenant (at the base of Armok's Tear) as Spearbreakers. Hopefully it doesn't get snapped up before I reach it.