After the cutscenes you will be brought to the Heroes Guild to begin your Hero training. Feel free to explore a little bit, and pick up any Cooking Apples on the way for the Red Apples side quest later on. You should go outside to the melee training area and talk to Guildmaster. From the map room go right and follow the red carpeted path, this will take you to the dinning area. Go up the right side set of stairs and turn right, go across the bridge and head straight. On the right is the melee ring the quest marker on your mini map is the guild master, talk to him.
Hit the dummy seven times as instructed and you will receive the Stick, the most basic (and weakest) weapon. Pull out the stick and start attacking the dummy again. It will be destroyed on the 10th hit and will drop an experience orb. Hold the Right Trigger or walk up to it and you will receive your first experience point.