Dragon Age has a great wiki site if you ever get stuck. I could have sworn if you go to the map, there were markers on where you were supposed to go.
Anyway, to get Sten out of his cage, you need to go to the main church in the village. Unless you have invested some points in persuasion, the mother won't let Sten out. To get around this, you can get a new companion, Lilea (or something like this) from the Tavern in the town and she can convince the mother to let him out.
Yeah this game isn't as guided as most. The main story tries to keep it as an open world style where you can choose if you want to go to the elves, the dwarfs, or mages. I think the smaller side quests are a little more difficult to navigate because they mention a person that you have to find and then you are on your own.
I got PO on one of them because I killed a dude early on and then it turns out I needed him to get Stens sword. I ran around for hours until I figured out the dude I killed was the guy I was looking for to continue the quest. Oh well.
I found you really have to pay attention to names and places when people are blathering on and on about junk.
I for one was actually quite happy to have this slightly reduced hand holding in this game. I mean, if I think about the games I grew up with (Loom, Monkey Island 1, Sierra Quest series-esp. first few) you had no idea half of the time what you were doing. Most of the fun came from finding things out and trying stuff...Games have seemed to have lost that. Oh well, thats just my 2c.
Only thing i dislike about this game is when your zoomed out, they should of offered a rotating camera angle just to make it easier to navigate, While in third person view its easy with WASD, overall a well crafted game