Ecco the Dolphin/Medusa Bay

Home Bay
When you first start the game, you actually appear in the Home Bay, where you can learn the controls, speak with the other dolphins, and explore the local area. To complete this level, you need to jump as high as you can - this triggers the vortex, and unblocks the exit on the right of the map.

The exit leads to Medusa Bay, which is the first important level of the game.

Medusa Bay
This first level is not too difficult. First, jump over the small island to the right - build up speed and jump out of the water diagonally.

You first need to find a key glyph, found in the caves to the left. When you find the first tunnel, jump over the barrier, and swim down the shaft you see. Turn right at the junction, then down, then right again. Touch the key glyph. If desired, you may also speak with the orca.

You may now head to the exit. Return to the start of the cave, and head directly right. As soon as you reach the eastern wall, you can head down slightly to see the barrier glyph, which may now be repelled. You can speak with the dolphins above first, but clearing away the glyph is the only thing that holds you back.