So how do you go from being in a cart, to being in a cave for the character creation, or vice versa?
Logical Spoiler Theory:
You're a prisoner, tied to a prisoner's cart/carriage being hauled to the location where you're to be executed.
You're tied to the sides along with other prisoners.
I'm sure once you reach Helgen, you'll be pelted with cabbage and other various vegetables.
And then the dragon attacks. During the ruckus- you are freed and you escape...
Into a cave.
The hands-on demo that everyone played starts 30 minutes into the game, to avoid spoiling the intro.