As a first-time player, I'm finding the game very confusing in so-far as to where to go and what to do.

When I made it to the ruins, there really wasn't any indication where to put the wind relic, aside from just going around the entire map and trying to figure it out. I think I was also confused because I remember Tails saying that we should go to his workshop, but when I get there there's nothing to do?

Then once I figured out what to do with the relic and I finished the wind level, it doesn't explain what to do next?

Any suggestions on how I should play the game? Is it literally just going around the entire map guessing what to do? Am finding it frustrating.