After I start the game and choose new game it just displays an statue, hides my mouse and just lets me rotate the statue with the mouse, while displaying random text messages, but the game never actually begins..
Like James said, its the loading screen. Your computer might not be good enough to run Skyrim. When I use graphic enchanters and try to run it with ultra high settings my loading screen is 15 minutes long, which obviously means I should not run the game like that.
Try lowering your settings, maybe try to download custom texture packages with reduces sizes