First things first. Save the game as soon as you can! It's a long way back to Shinra HQ. Now, be sure you have the Enemy Skills materia equiped--we're going to get you your first Enemy Skill. There are some enemies wandering around the Midgar area called Custom Sweepers. They're hard to find, but once you do catch up with some, you can get two goodies from them: the Matra Magic enemy skill (To get an Enemy Skill, the creature just has to use the attack on the character with the Enemy Skill Materia equiped, and it's yours.), and you can steal some Atomic Scissors for Barret, a nice weapon that, like the Hardedge and Striking Staff you got a little while ago, isn't available for a long time. Got everything you need? Now you can go on to Kalm. It's the little town to the northwest. Be sure to pay close attention to everything that Cloud tells you (and some things he doesn't). This flashback contains some scenes that figure heavily in the storyline, so if you don't listen to what's going on, you might get very confused later in the game. When everybody splits up again, you'll get the PHS, a kind of cell-phone which allows you to switch party members at save points or in the Outdoors. As far Kalm goes, there isn't a lot to do, but every house in this town has at least one item laying around that you can, uh, well, steal. Also, be sure to get the hidden Megalixer in the upstairs of the inn! (just have Cloud look at the dresser to the left off the stairs. Cloud will try for it a couple of times, then get angry and kick the damn thing down :-). In case you're wondering, that Peacemaker gun you got is for a character you haven't found yet, (I bet you can guess who it's for, though), so just hang onto it. In the shops, there isn't much going if you stole the weapons for Cloud, Barret, and Aeris I mentioned earlier. There is a new one for Tifa, although you might not want to buy it, as there's another enemy coming up very soon who's got an even better glove for her. Be sure to pick up the Earth and Heal materia, especialy if you're interested in getting the Master Magic later in the game. Also, talk to the guy upstairs in the far southeast house, because he becomes very important later in the game. But, that's a good thirty hours or so away, so don't worry about it for now.
Once you're ready to head out, go east and south until you enter the Grasslands Area. There's another Enemy Skill to be found around here, which can be gained from the ever-annoying Mus. It's called Level 4 Suicide, and it's probably one of the most useless spells in the game. (In fact, I think there's only one place where you'll ever use it.) You might have to wait for a while before they cast it on you, but when they do, I suggest yo make sure that no one's level is a multiple of 4. As the name suggests, Level 4 Suicide will instantly kill anything that's at a level divisible by 4 (8, 12, 16, etc.). Also in this area is the Chocobo Ranch and a fairly large swamp with a fairly large snake in it. Unless you have a serious death wish, you probably better stop at the Ranch first.