On the paper map that came with the game, there's a road between Whiterun and Morthal, through the mountains. Just head west when leaving Whiterun and then turn right at the "T" junction.

However, this road does not seem to exist in the game. I think I've found the road, but it seems to end at Hamvir's Rest. What's up with that? Have I managed to miss the main road or is the paper map incorrect?

I think it's incorrect. Tried to find it myself and dropped onto Labyrinthian only to get slaughtered by Frost Trolls.

Yeah, I also tried to find the road by approaching from the north, and stumbled into Labyrinthian too. If you just run through the place you actually end up on the other site of the mountains, but there's no visible road or even a path.