The story begins on the day of the Picori Festival, celebrated annually to give thanks to the efforts of the Picori in aiding the legendary Hero who vanquished evil and saved Hyrule long, long ago. You are a young boy named Link, who is living with his uncle Smith in a small little house just south of Hyrule Town. Your uncle is entrusting you with an important task: to deliver a sword crafted by Smith to Minister Potho at Hyrule Castle.
Go to Hyrule Town with Zelda
Upon waking, your childhood friend Princess Zelda will ask that you escort her to Hyrule Town so she can participate in the festivities. After receiving Smith's Sword from your Uncle, you will find yourself out of the house and in the center of South Hyrule Field. It's a moderately-sized area with, at the moment, no enemies to fight. At this point there isn't much to do in this area except head north into town, so you should do that.
Obtain the Small Shield
Once you have entered Hyrule Town, you will discover that most of the town has been blockaded for the Picori Festival, meaning you can only explore the central portion of the town. You can talk to the villagers in order to discover more about the meaning behind the Picori Festival.
Princess Zelda will wander around the festival a bit, looking at all the booths in the center of town. Follow her around and speak to her until she stops at the bottom-right booth. Zelda will play a small game at this booth and win the Small Shield as a prize. Out of generosity, she gives the shield to you.
With the Small Shield equipped, you may now leave the town by heading north into Northern Hyrule Field.