Go to the city of Baron. Take Kain's advice. Get information. You can't get equipment, because the doors are locked. Check the swords at the back of the Inn. And unless you are the greatest Final Fantasy player in the world, I suggest going to the Training Rooms in all of the towns for great tips on playing the game.

Well, I guess you can leave the town. Southwest of Baron is the first Chocobo Forest. The cave that leads to Mist is northwest of Baron. The cave is really not that hard. Just go everywhere. Periodically you will hear a voice that tells you to go back. Don't listen to it.

Well, well, the voice was really a dragon that goes by the name D. Mist. And of course he is going to want to fight you.

After you kill the dragon, walk out the door. Go east to get to the town. Before you enter the town, unequip Kain, because he will be leaving soon. When you walk into Mist, the Package will open automatically open, burning the village and almost everybody in it. You will find a girl, Kain wants to kill her, but you talk him out of it. She is pissed, so she gets in a fight with you. After the fight you wake up, see that Kain is gone, and pick up Rydia and take her to the nearest town.