After the opening sequence, we meet Alex in Cradul Woods. As soon as you get control, head west for a scene with Toril.
Toril explains that you're in Fernland, a crossroads for wanderers from other worlds. (And Alex takes the news surprisingly well.)
After you meet Toril, there's another scene with the Overlord, the main antagonist in Fernz Gate.
Then it's back to you and Toril, as she explains how the Overlord became evil and went on a murderous rampage, attacking towns and villages and wreaking havoc throughout the land.
Toril sets Alex up with some new clothes and a shiny new sword, and then says you should go to Kalma Village and meet some of the locals, so keep heading west through the woods.
Ignore the area to the south, because you can't go there yet anyway - but immediately after that be prepared for your first battle in Fernz Gate!
(Don't worry, it's simple. Just follow the tutorial. One thing worth remembering though is that Fire damages Earth, Earth damages Water, and Water damages Fire. It'll be important if you play on Hard or Expert.)
Once all the dialogue ends, head for the exit, and then on to Kalma Village.