Skyrim - Main Quest 2 - Before the Storm

As you head out from the dungeon with either Hadvar or Ralof, the dragon that attacked Helgen will travel over your head. Hadvar or Ralof will advise you to get down, but you're free to stand up and watch the dragon fly away. Hadvar or 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 or 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 theGuardian 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 check out the nearby Embershard Mine. 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, you and Hadvar or 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, the woodmill worker (if you chose to follow Ralof). Explain your situation and he or she will recommend you seek out the Jarl of the region, Jarl Balgruuf the Greater at his palace 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 (or anywhere else).
Head out over the bridge out of town and follow the path north to Whiterun. Upon arrival at the main gate, a guard will tell you the city is closed to visitors. Any one of the dialogue options you are presented with will have him let you in the city. Once inside, follow the path up to Dragonsreach and enter. When you approach the Jarl, his housecarl will ask you why you are interrupting the meeting; any dialogue option will gain you an audience. 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.