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You'll begin this quest just outside Helgen Keep. Your companion will suggest that you travel to Riverwood, which is located a ways to the northeast. If you went through the keep with Hadvar, then he'll recommend that you meet with his uncle Alvor in Riverwood (#1). Otherwise, Ralof will suggest that you talk to his sister Gerdur at the mill (#3). Along the way, you should stop off at the Guardian Stones (just off the road to the northwest). If you activate the standing stone there, then you'll learn magic skills more quickly.
In Riverwood, Alvor or Gerdur will give you some gifts, allow you to stay in their house (where you'll be able to loot most anything you want without it being considered stealing), and ask you to inform Jarl Balgruuf in Whiterun that a dragon attacked Helgen. Before heading out, you might want to visit the Riverwood Trader (#2) to sell your extra gear, plus pick up the quest
The Golden Claw
. You can also complete a miscellaneous quest for Sven (#4) or Faendal (#5). The one you help will then become available as a follower.
To reach Whiterun, you'll need to exit Riverwood via the bridge to the north and then follow the road that leads north along the river. Along the way, you might encounter three Companions fighting a giant near Pelagia Farm. If the Companions sound intriguing to you, then you can join up with them inside Whiterun (#7).
When you reach the gate to Whiterun, you'll be stopped by a guard. If you talked to Alvor (#1) or Gerdur (#3) in Riverwood, then you'll be able to use a dialogue option requesting aid for Riverwood to get inside. Otherwise, you'll have to use persuasion, intimidation, or bribery. We'd recommend using persuasion or intimidation since they'll improve your Speech skill.
Inside Whiterun, if you do some exploring then you'll find a couple of quests that you can pick up --
Missing in Action
from Fralia Grey-Mane in the market (#6) and
The Blessings of Nature
from Danica in the Temple of Kynareth (#8). But eventually you'll need to head to Dragonsreach (#9), where you'll find Jarl Balgruuf. When you talk to Balgruuf there, he'll agree to send a detachment of soldiers to Riverwood, and he'll reward you with some random chest armor for taking the time to warn him about the dragon attack on Helgen.
1 - Alvor and Sigrid's House
2 - Riverwood Trader
3 - Hod and Gerdur's House
4 - Sven and Hilde's House
5 - Faendal's House
6 - Market
7 - Jorrvaskr
8 - Temple of Kynareth
9 - Dragonsreach