On the first quest, you will be asked to become a citizen of any city within the world of Survival.
Once you accept this quest, all you have to do is single click on your avatar, and select Loyalty Rating from the drop down.
This will give you the City Loyalty Scroll. Select the Declare Citizenship Gem to get the next screen.
Now all you have to do is select the city you want to become a citizen of here. Once this is done, head back to Diego to hand in your quest!
Notice when you go to hand this one in, that Diego mentions another NPC named Baltram. This is the first repeatable quest that will help you start to earn a little extra gold while you grind yourself up in levels.
Once you hand this one in, you will get a small boost, and be able to talk to Diego again to get the second quest in the Militia Line.