One good option - use the difficulty slider to make the combat easier - you can adjust this at any point during the game, so if you find it tricky at the start, drag the slider until you find the sweet spot for you. You can always adjust it later on if you find things are getting too easy.
Don't be afraid of adjusting options like this - Morrowind is quite hardcore, and it's a normal course of action to mess with difficulty until you find the right balance for your character.
I think that guy is put on the bridge on purpose - if you can't defeat him, then you'll struggle with some of the other enemies coming your way on the main quest...but he is a right pain in the arkngthand.
One thing you could try is to avoid the bridge entirely, and make your way the long way around to Arkngthand.
Morrowind doesn't have any invisible walls anywhere - if you can see somewhere, you can find a way to get there.
Do you have a paper map that came with your copy of Morrowind?
If not, take a look at this map -
http://mwmap.uesp.net/?centeron=Balmora - centred on Balmora - you can see the bridge and that annoying guy ("Snowy Granius") to the east of Balmora. Maybe try navigating a different route?
Another option could be to get a few potions of levitation or an enchanted item of levitation - then just fly around - or if you feel brave, levitate over him and throw down fireballs while dodging his own missile attacks.