... the road is south of Helgen while in actuality it comes out of the west wall of the town.
You beat me to it, and the funny thing is: the only way I figured it out was to head out of Falkreath to see where the road ended.
One of the reasons I ride a horse: so a wall can't stop my progress.

Note: If you go east (or is it west, I forget), you'll get a "Can't go that way" once you pass the last guard bridge.