- Speak to Alvor or Gerdur in Riverwood.
- Go to Whiterun
- Seek out Jarl Balgruuf the Greater.
As you head out from the dungeon with either Hadvar or Ralof, the dragon that attacked Helgen will travel over your head. Hadvar/Ralof will advise you to get down, but you're free to stand up watching the dragon fly away. Hadvar/Ralof will comment on the dragon and continue on the path. You can now explore the area and advance to Riverwood at your own pace, or follow whoever is accompanying you down the path. Following Hadvar/Ralof does not grant any special bonuses, but you do get to listen to your companion detail about the world around you, and they will point out the Guardian Stones and let you pick one that suits your character. You may encounter a few lone wolves along the path. Exploring does have some advantages, any wolves you meet will yield pelts when killed, and you can also explore Embershard Mine, which is close by. You can also catch some salmon in the river, and there are usually some elk or other prey to hunt along the way, which yield hides, venison, and occasionally antlers to use in alchemy. At the end of the path (or, if you explored, follow your quest marker), you and Hadvar/Ralof will arrive at Riverwood.
Once you arrive at the village of Riverwood, you will be directed to speak to Alvor, the local smith (if you chose to follow Hadvar during the flight from Helgen) or Gerdur (if you chose to follow Ralof). Explain your situation and he/she will recommend you seek out the Jarl of the region, Jarl Balgruuf the Greater at his palace, Dragonsreach in Whiterun. They will also offer you what assistance they can (in the form of some low level food, potions and jewelry) to get you started. No matter what choice you have made, you can also help Alvor around his shop for some smithing experience, and Gerdur's husband Hod will pay you for any firewood obtained by working at the lumber mill.
Head out over the bridge out of town and follow the path north to Whiterun. The player is likely to encounter a group of warriors slaying a giant and the idle guard or other low level mob on the path, but these are of little consequence as they are most likely non-hostile. After arrival, a guard at the main gate will tell you the city is closed to visitors. Simply choose any one of the options you are presented with and he should let you in. Once in, follow the path up to Dragonsreach and go inside, when you approach the Jarl, his housecarl will ask you what you want with him, any dialogue option will do. Speak with Jarl Balgruuf to complete the quest and begin the next. The Jarl will reward you with a piece of leveled armor. Whether you receive light or heavy is governed by your aptitude in those skills.
