The Road to Helos is the first region in Greece (Act I). You will find yourself here after starting a new game. Talk to Corythus to learn about the local troubles. Move on, then talk to Timaeus, who asks you to save his horse from the Satyrs. This starts the first chapter of the main quest line, A Troubled Village. Defeat the monsters (2 Satyrs and a Boar) to get your first body armor and a weapon. The horse cannot die, so you don't have to hurry. Talk to Timaeus again to update the main quest (this gives no further reward).