Find all the statues of the Seven
After the intro of the game (when you can finally run around), enter Castle Black with Mors. Go up the stairs and look for a guy who stands in front of a bookcase. Talk to him and he'll give you the first side quest in the game. Funny enough, this is also the first case of a side quest you cannot complete in the same chapter (most side quests are not like this in the game.) You will only be able to complete this one at Chapter 12/13.

The Warrior: Walder gives this one to you.
The Smith: Riverspring Armor merchant for 1G20S (buy this before Ch13)
The Mother: Chapter 5, Mole's town brothel -> Jeyne's room
The Father: Chapter 7, Westford Cottage -> Once you have read the letter from Mors' Father you can find it in the dresser.
The Maiden: Chapter 8-13, Self-maid girl side quest, send Bethany back to Chataya
The Stranger: Chapter 8-13, Avenge Riverwood side quest -> Mallador Brax' room (between the loot)
The Crone: Chapter12/13, rescue Ravella in Chapter 12 OR loot it from her corpse in Chapter 13