The main story is indicated with a yellow destination marker on the map.
Sub-scenarios are optional stories about the asterisk bearers where you can unlock new jobs. They are indicated with a blue destination marker on the map. You should unlock a job in the earliest available chapter because the battles become harder in later chapters.
The Adventurer is found throughout the world and usually just before a boss fight. You can save and stock up on any needed items. As shops are built and leveled up in Norende Village, the Adventurer sells more items.
If you are having difficulty, you can adjust settings in the Config menu under the Tactics menu. You can use a teleport stone to quickly warp to the entrance of a dungeon.