Your next target is the ocean. However, the obvious path there is blocked off by a fence that seems impassable. You'll need another way to get past.
Return to the first day and buy a Powder Keg in the Bomb Shop in West Clock Town. Then, exit to Termina Field. There's a path to the right of the swamp, follow it to reach Milk Road. Hit the Owl Statue there, then go to the large boulder at the back and use your Powder Keg to blast it away. Afterwards, continue to the ranch.
Walk forward and you'll discover your horse, which you lost way back in the prologue. Speak to the little girl running around. Her name is Romani and she wants you to protect her precious cows from "them". Agree and you'll start a target practice on horseback. This isn't a big deal, but you might as well give it your best. After that is done, you'll regain your horse, as well as learn Epona's Song!
She will ask you to come here at 2 AM. (Doing this will be incredibly helpful for later on.)
If you did come back to the ranch at 2 AM, you'll see that aliens are trying to abduct the cows. Run, or ride the horse around the barn and shoot any aliens with your bow that try to get near. The dog will indicate where the next alien is, and if just one reaches the barn, you lose. If you wish, you can use the Inverted Song of Time to slow down the aliens, which makes this task a cinch.
If you succeed, you'll get a Bottle for your efforts.
To Great Bay
Now that you have your trusty horse, call it and ride towards the fence in Termina Field. Epona can easily jump over the fence, allowing you to get to Great Bay Coast.
Swim out into the water and you'll find an injured Zora, who will ask you to push him to shore. Swim up to him and hold until you reach the shore. He will try to walk a few steps but then fall over. Talk to him and he will tell you how some eggs were stolen by Gerudo Pirates and he failed to get them back. Play the Song of Healing at this point and you'll get the Zora Mask. If you want to learn how to use your new powers, check out the grave.
Swim out to the building in the middle of the water. Activate the Owl Statue there, and look up to find old trusty Tingle. Shoot him down and buy a map of Great Bay for 20 Rupees if you wish. While you can go over to Zora Cape and check out everything, there isn't much to do there. Instead, swim out along the coast. Look underwater as a Zora and you'll find four wooden boards. Ram the second one from the left to enter the Pirates' Fortress.
The Pirates' Fortress is well-guarded, and if you're caught by any of the pirates, you will be thrown out, so beware. If avoiding the guards is too hard for you, you can skip forward a bit and acquire the Stone Mask, which will make you invisible to the pirates.
To the inner area
The first area is littered with pirate boats. Swim behind one of the boats until you see a switch on the way. Stomp it as a Goron, which will open up the underwater passage. Transform into a Zora and dive down there.
Once in there, swim forward and ram the wooden board. Push the first block forward, follow the path and pull the other block back. Now you can ram the other wooden board and swim through the maze. At the end, the water jet will blow you upward. In the next area, a stream will push you out if you try to swim along the surface, so dive down and avoid the water mines hanging at the bottom. Once you reach the end, surface and open the door to get to the next area.
Here, climb up and go up the stairs. At the top, by looking across you'll find a crystal switch, which will make the gate to the next area open. However, this gate will only open shortly, so hurry; throw your Zora boomerangs at the switch and jump down into the water to make it through the gate before it closes. On the other side, there's a stream at the bottom, so swim along the surface avoiding all the water mines on your way. At the end, climb up the ladder. There's another small puzzle here - step on the switch to make the gate open. Quickly run to the inactive water jet and shoot an arrow at the crystal switch before the gate closes to propel you upward to the next floor.
You'll want to jump off the water jet immediately as it's going to push you into water mines hanging from the ceiling. Instead, climb the ladder right next. From here, if you wish, you can look through the telescope to get a good view of the inner area. Otherwise, turn around and shoot an arrow at the water mines, which will cause them to blow up and reveal a crystal switch. Hit it with an arrow, then drop down and go through the now opened door. Outside, follow the rather straightforward path to get to the inner area.
To the throne room
This area is full of pirates. You can stun them temporarily by shooting them with an arrow, or hitting them with the sword (good luck with that, though). Or, if you have the Stone Mask, feel free to just run past them.
You will need to climb up the watch tower and go across the bridge. Stun some pirates, and run across once you think it's safe. Once across the bridge, go through the door. In the next room, go forward and you'll be able to listen to a discussion by the pirates. As you'll find out, the pirates have four eggs, while three more have been stolen by sea snakes. Once the discussion is over, shoot an arrow at the beehive through the barred window, which will cause all the pirates to panically leave the throne room. Get back out, jump down to your right and open the door there to get to the throne room, which should now be empty. Open the lone chest to get the Hookshot!
There are four Zora Eggs to collect for you. As you likely won't have four bottles at this point in the game, this means you'll have to backtrack one or more times. (A Hookshot target makes it easy to get back to the inner area if you do have to leave.) Drop the Zora Eggs into the large aquarium inside the Marine Research Lab (the teapot-like building where the owl statue and Tingle are). The Zora Eggs are in these locations:
- One is right next to the Hookshot chest. You pretty much can't miss it.
- One is at the south side of the inner fortress. Grapple yourself up to the Hookshot target and take the closest doorway. On your way you'll have to fight a pirate. Her jump attack can knock you out (this will cause you to be thrown out!). Surprisingly, this fight is easiest as Deku Link, as he can stun the pirate and hurt her with the bubbles. Afterwards you'll arrive at the egg room.
- One is at the north-west. You'll have to battle another pirate on your way.
- The last can be found by going through the north-east door, across the bridge. In the next room, you can try going for the treasure chest if you wish (it contains 100 Rupees), otherwise continue. After yet another pirate fight you'll get the fourth egg.
Before you leave for once and for all, be sure to take a photograph of one of the pirates! This will be important for the upcoming part.
The remaining three eggs are at Pinnacle Rock. However, murky water prevents you from getting there the normal way. Instead, swim back to Great Bay Coast. You'll see two houses, enter the right one to get to the Fisherman's Hut. He will agree to give you the seahorse if you can give him a photograph of one of the pirates. Do so, take the seahorse and get out.
Pinnacle Rock can be easily seen from Great Bay Coast, it's the two large rocks in the distance. Swim between them to arrive in Pinnacle Rock. Release the seahorse here and he will guide you through the murky water at the beginning. If you don't have him, here's a walkthrough:
- Drop down to the ground and walk to the first sign pointing to the right. Follow it.
- The next sign will point to the left. Don't follow it! Continue straight ahead.
- The next sign will point to the left as well. Follow this one to the left.
- The next sign will point to the left again. Follow this one as well, even if you don't see anything in the distance.
- After a while a sign will point to the entrance. Don't follow it, instead go to the sign you see right behind it, to your right.
- The next sign will point to the entrance as well. Don't follow this one either; look to the right to discover another sign, walk to it.
- This sign will point to the entrance too. Do follow this one.
You're now in the center. This area is full of sea snakes, and three of them guard Zora Eggs. To hurt them, lure them out of the hole, then swim into the neck using Zora Link's magic barrier. (You can also stand beside the hole and use the boomerangs if you wish.) Once you got your three eggs, get out any way you wish.
Back in Great Bay Coast, go to the Marine Research Observatory. Climb on top of the big aquarium and drop your eggs inside. If all seven eggs are together, a cutscene will ensue where you'll learn the New Wave Bossa Nova.
Now, swim back to the coast. Follow the passage to get to the other side. There's a variety of things to do here, but for now, just head out to Zora Cape. Swim to the other side, stand next to Lulu (activate the Owl Statue too) and play the New Wave Bossa Nova as a Zora. A giant turtle will appear and agree to take you to Great Bay Temple. Simply use your Hookshot to get on top of it to sail off.