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).
Move on to get to the Village of Helos. You will see some Satyrs attacking the guards, but they will be able to fend off the attackers without your help (you can help, though, to get some experience).
Note: While helping Timaeus and his horse is a part of the main quest line's first chapter, it isn't actually required to complete the quest. If you missed this part, you can complete it any time later.
- Corythus ~ Boat-hand welcomes you to this region and tells you about the troubles that plague the nearby village, Helos.
- Timaeus ~ Poor Farmer asks you to save his horse from being killed by Satyrs.