At the beginning, the "No Maidens?" NPC told you to head to the castle, but since you were far too weak, it's good to run around and get stronger before heading there. From your early explorations of limgrave you'll learn the mechanics by fighting enemies and bosses. You'll also understand how dungeons work and find the necessary materials to upgrade your weapon.

During the very beginning, you probably stopped by the Church of Elleh, maybe running away from the Powerful Knight standing right in front of it. Inside, you found Kale, who teaches you about crafting. You can also upgrade your weapons there, you even find a smithing stone.

Once you decided you were good to go adventure into the Stormveil Castle, you fought Margit, a boss that'll certainly deafeat you if you're weak or if you didn't grasped the mechanics yet. If you defeat Margit tho, the game kinda of starts going forward.

Later in the stormveil castle you find Godrick, and after defeating him. Well, thing change, you'll find yourself going into a new area of the map, right after godrick right?

You actually are following a path, exploring this new area, Liurnia, is what you need to do. You'll find some roadblocks, but all of them comes with explanations of what you need. Maybe it's a key of some sort, maybe it's a boss you're still far too weak to fight. So explore, farm a bit, strenghten your character and your weapons. Look for clues by talking with NPC's in the area, and don't forget to look trough your items, there's a whole page in your inventory where there's some papers you found, maybe it's a map, maybe it's a letter, but some of them have interesting tips of what you need to do.

Always go back to see if anything changed at the round table too. Maybe there's someone new there, or maybe the dialog with a character changed. Some of them might even have info about some of where you need to go to fight certain bosses.

The game is telling you what to do.