How do you obtain the magic wand?

As the title said, I can see other players with them bt i can not find them in my inventory.

You must do the “Tinny Quest”. Once you complete the Tutorial quest with Guardian Bart go talk to Chef Lethrow (in Highsteppe across from market stalls) and he will point you in right direction

I found the cave and tinny but she isnt a quest giver and doesnt have and exclamation mark over her head.

That is probably because you haven’t done the tutorial quests and the chefs quest yet.

you must complete Guardian Barts tutorial quest first (killing the King stag) and turn that quest back in.

Yup exactly what Scott_M said