Have you talked with Cid on the Rocket? The two main scenes where you need to go is the rocket and Cid's house. After that you'll have some tea in his house, and you'll eventually have to go outside where is the tiny bronco. After the battle, it should be all sequential, and everything should directly go to the Cut-Scene and then you'll appear in the sea on the tiny bronco. After that you can "cheat" and go to the land of the ninja girl (I don't remember her name), and go there get better weapons and armor, and level up. But this is not the storyline you must chose to pursue the game.
I hope I've helped answering your questions.
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"Oh Cloud! Your hair looks like a chocobo!!" - Tifa, Final Fantasy VII
"You'll cry. You're gonna cry. You always cry, see? You're crying." - Jecht, Final Fantasy X
"Fine, we rest. She's worse than the storm." - Auron, Final Fantasy X
"...Whatever." - Squall, Final Fantasy VIII
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