I have just started playing Ico and there is no help at the beginning, you're just supposed to figure out what to do. Which I like, its just I want to know if there's anything I can miss at the beginning of the game?
No, there's very little that's missable in Ico. There's one secret area that I'm aware of where you find the best weapon in the game, but there's only 3 weapons total, and the combat is not particularly challenging even without it.
The game is primarily focused on solving environmental puzzles and protecting the princess. There is very little dialog, and in most releases what dialog there is isn't in English, at least on the first playthrough. There's also very little story progression through most of it.