I started the game, picked my class, ran from the dragon as per story.
Then I sent inside some tower, climbed the staircase, jumped out the window and ran outside of some house.
I followed a guy for a while, went through the caves, past the bear and out the other side.
Leaving the dungeon, the wilderness of Skyrim opens and you see the dragon flying off into the distance, towards Riverwood, completing the quest; after which point, your companion will guide you to the Guardian Stones and then on to Riverwood, where he will take you to either Alvor - Hadvar's uncle, the town's smith - or to Gerdur, Ralof's sister, who owns Riverwood's woodmill.
I think I lost him after we exited the cave. Is there any way to go back and find him again?