Investigate the Town or Smoke Column
To begin your exploration, you can head to the town or toward the smoke column. Either way, you'll eventually reach the town, but the cause of the smoke will only last a short time. You don't have enough time to check both locations before triggering the next part of the mission. Heading toward the smoke allows you to explore and ensures you won't miss any extra backstory or dialogue.
The smoke column leads to a camping area in the northeast part of the map. The mission indicator isn't as solid as the 'Investigate the Town' indicator, so you can tell which direction to go. You'll encounter dozens of enemies, especially when approaching the cabins. Try to climb onto rooftops or high ground whenever possible to avoid being surrounded by biters.