Your Shield is located in the well in Mabe Village. To access it, you'll need to speak with the old man in the library, who will give you a hint. Once you have the Shield, head east from Mabe Village towards the Mysterious Forest. Here, you'll encounter the enigmatic Owl for the first time. He'll provide your first major objective: retrieve the Tail Key from the forest to open the Tail Cave. Be wary of the Moblins in the forest.
