Once you've loaded a world you will start out in an abandoned spaceship Your oxygen level will not go down immediately upon spawning in the world. The oxygen will only go down once you've moved and been given a quest book but this will be explained in the chat. For your convenience, it is recommended that you use the quest book as it contains the information you need to survive and a guide for finding a good source of oxygen, resources, upgrading, killing bosses, and building a base. The quest book is also helpful in the sense that it gives you rewards automatically for completing some quests.