on Day 1 I just go out of starting building, and in back yard there is worm and some guy, instantly. Maybe restart game...?

First make sure after talking with Big Vlad that your questlog (if you didn't know that was a thing now you know, you open it with "q") shows the paragraph that mentions "I think the son knows just as much as the father," "But where can I find him?". If you don't see that, try talking with Big Vlad again and check you have completed all previous steps of the main quest. If it shows, the worm should spawn to your left and run past you, wait a few seconds after exiting the door and you should see it run past. It only spawns once, when you first go out of Big Vlad's house after trigering the previous paragraph, so if you miss it reload and talk to Big Vlad again. If it still doesn't spawn but the quest is properly triggered, look up the map in the Guides section and find where Vlad the Younger's house is and go there.