Your adventure begins in Crateria, the surface region of Zebes. After landing your Gunship, head right. You'll encounter your first enemies, the Zoomers. Practice your beam shots on them. Continue right until you reach a vertical shaft. Descend this shaft, being careful of the Mellows clinging to the walls. At the bottom, head left to find your first Save Station. Save your game!
From the Save Station, head right. You'll encounter a door that requires a Missile to open. Since you don't have Missiles yet, you'll need to find an alternate path. Continue right past the Missile door and drop down into a new area. Head left here to find a small room containing your first power-up: the Morph Ball. This essential ability allows Samus to curl into a small ball, accessing narrow passages. Once acquired, backtrack to the vertical shaft and look for a small tunnel on the right side, accessible only in Morph Ball form. Roll through it to proceed.