Your journey into the virtual world is like traveling to any new place in the real world.
You need to be aware that your behaviour, even if it is virtual, has an effect on the person or people behind the avatar. Second Life is a highly social environment where social behaviour is less formal, for example, introductions tend to be undertaken casually, so some social inhibitions can be relaxed. For the most part, people in Second Life are generous and helpful, and willing to drop everything to help someone who is new or lost or just needs help.
However, along with the helpful there are the usual social deviants for whom following or haranguing a person is "fun". In these sorts of situations, it is best to get away from the region where the person is hassling you.
There is a protocol and there are mechanisms in Second Life that allows for complaints and ejection of avatars from a location or even from the whole virtual world. There is useful information in Newbie Woman's SL Survival Kit.
How to report abuse and handle griefing
"Griefing" is purposely trying to disrupt and interfere with people as they go about their business, or disrupting events. Torley Linden Tip of the Week 47 - How to Report Abuse and Handle Griefing
Things to be aware of
You should be careful about publishing personal information, for example in your profiles.
Do report abuse, using the method described above.
If you are being harassed, use your HOME as a place to escape to CTL/CMD-Shift-H .