Rocket Town is roughly North East of where you exit the mountains, so go there. The first thing you should do, is rest at the Inn (if you need it), buy equipment, and go talk to the old man sitting in front of the central house. Look at the rocket with him a couple times when he asks you to, and he'll give you the Yoshiyuki, a very powerful sword for Cloud this early into the game (however, be cautious about using it because it only has two materia slots, and it doesn't grow your materia). The northern-most house seems empty, but if you go out to the backyard and check out the airplane there, a young woman will come out and speak with you and refer you to the Captain. Go over to the rocket and find Cid. Ask him about borrowing the Tiny Bronco. He won't give it to you, but it will move the story along. Go back to his house. After talking to the yong woman for a while, Cid will eventually come back home and fill you in on why he's so bitter towards her. Talk to her for a while, and after Rufus and his associates arrive, go out and see what's happening. Go back inside and Shera will whisper to you that that Palmer is attempting to steal the plane. Go out back, and you'll catch him in the act. Reluctantly, he'll fight you. This is an easy battle, so don't waste a lot of MP trying to kill Palmer quickly. Finally, Palmer will attempt to escape, only to be hit by a semi on his way out. You'll jump into the Tiny Bronco just before it takes off. While you're wildly flying around Rocket Town, Cid will eventually jump on. In the ensuing escape, the plane will get hit by gunfire, and it will only useable as a boat. Cid will also join you at this point.