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Talk to Kairi and she will tell you your task is to collect items to build a raft.
Speak to Kairi when you are ready to continue.
You can gain some experience and increase your level if you have practice fights with your friends on the beach. Tidus is at the far end up on a wooden platform, Selphie is sitting on the end of the pier, Wakka is on the beach and Riku is on the small island at the end of the bridge. The good thing is that even if you lose a practice fight, all your health is restored at the end. It's entirely possible to get yourself up to level 5 or 6.
The best person to train with is Wakka since you will gain the most experience and technique points. He will throw his ball at you and you'll receive technique points for deflecting it back. If you press ATTACK just as he throws the ball you will hit it back at him. You can continue to do this until he gives up, or you can just go up to him and start attacking. Similar methods can be used with the other characters for practice fights, though each of them vary in difficulty.
If you go through the door in front of which Kairi was standing the previous day, you come through to the Cove. Kairi tells you your task is to collect provisions for the raft.
Speak to Kairi when you are ready to continue.
You can also try a 3-on-1 fight against your friends on the beach if you talk to Tidus. It's a little tricky, but rewarding in terms of experience.
The enemy Heartless you meet here are the first in the game that can really hurt you. When you start attacking them you will notice that your wooden sword has no effect on them! Run away from them for now and look around the beach. A strange door has appeared where the Secret Place was before, and Sora can't open it. Go over to the bridge to the small island, where Riku is standing. You will now receive the Keyblade, and it works very well against your enemies.
Fight your way back through to the door at the secret place, and take the opportunity to gain some experience. Now that you have the Keyblade, the door will open.