First, start by heading back to Kokiri forest, which is in the east portion of Hyrule Field. Once there, head north, up the ledges until you see a big hollow log entrance way. That's the Lost Woods. Below is a map, and details on each area and where you need to go.
(1) Area one is where you can obtain a few quick items. When you first look into area one, you'll see a log, just as your standing on the ledge, that sort of looks like a target. It is a target. Hit the middle for 100 points three times in a row to receive the Deku Seeds Bullet Bag (holds 40). Also, jump down the ladder to obtain a heart peice by completing the little Ocarina mini game. If your having trouble just write the notes down.
(2) Area two and (3) Area three are both warp gates to the next worlds you will be visiting. They have to be opened from those worlds however, so both are blocked right now.
(4) This is where a skullkid lies in wait. You need to play Saria's Song him to obtain a heart peice, and you get the song after you go to
The Sacred Meadow is where your headed next. Once you get in there, make your way through the small maze and up the stairs and you'll meet Saria. She will then teach you Saria's Song in order to talk to her. Make your way back to area (4) with your new Ocarina tune.
Now make your way to Kakariko Village, the area that Zelda's guard showed you as you exited the castle.