If you want to leave the first initial training area right outside of Links home you have to listen to the instructor. The instructor will teach you how to dash and how to jump. After that you will be permitted to leave. Move while holding "A" and dash to the box that is situated to the left of the front red gate. Once you are on top of that box, just move forward towards the instructor. Auto jump will kick in and Link will leap across. Take a right over the small bridge and you will leave the training area.