After you leave Midgar, you encounter the World Map for the first time. The controls should be explaned to you.

You're first task is to head North East to Kalm.
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Calm is a small, quiet village. It has a few shops and an Inn. It's streets are coloured blue. |
When you go into The Inn, the characters have a rest whilst listening to Cloud's Life Story.
Cloud's Story is an interactive flashback, but you cannot die during a battle.
When the Story has finished head East on the World Map, to the Chocobo Farm.
