Well, you have to wait until you're a higher level. You get better armor as your character and the enemies get stronger so you don't get overwhelmed or the game getting too easy for you. They try to keep it fun that way.
1st Level: Fur and Iron
2nd Level: Leather and Steel
3rd Level: Chainmail and Dwarven
4th Level: Mithril and Orcish
5th Level: Elven and Ebony
6th Level: Glass and Daedric