All owners of Red Dead Redemption(PS3), help!!!!!?

I bought RDR yesterday. I have only played it for 2 and a half hour. The onlything I ve done is kill a bounty hunter( sherrif mission). And also do jobs like night watch, taking wild horses, kill coyotes, bunnies and things like that.(Bonny s missions) Help, because I dont know if I need to keep doing those jobs and missions, or if I have to take a train to go to the next part. I really dont know what to do. Please somebody that have RDR, HELP!!!