You’ll start off outside the first shell house, so go down and right. You’ll see a ghost of Sephiroth heading north east. Follow him. You might want to rest in the beds in the second shell house before leaving. You’ll come to a set of spiky stairs. Ignore them and go behind it and up the rocks to the right to get to a chest with a Viper Halberd in. Go back to the spiky thing and go up it. Go into the black area and spiral around the object and back again when you get to the top. Go left into the Corral Valley Cave.
Walk to the left and go towards the second split in the wall. Climb upwards and choose to go left. Walk to the left and climb up the next split. Choose to go left again and up. Keep going up to pick up the Bolt Armlet in the chest. Jump back into the split and go down, choose to go right. Run to the next split and go up then right to get the Megalixer in the chest. Go into the split and go down. Jump right, then go back to the split and go down. Eventually you’ll jump down and get the HypnoCrown in the chest. Jump back in and go up. Jump to the right, go back into it and go up. Jump left, jump out, go left and into the split again. Go up and jump off. Go to the ladder and go down. At the bottom pick up the Magic Plus materia. Walk towards the ladder and Cloud will climb it again. When he jumps off, walk towards it again and choose to go up. When you jump off, go right and through the opening. Pick up the Power Source in the chest, and go north. You’ll be back on the World Map. Go left from the cave until you reach the coast. If facing the water, go right. You’ll see some Chocobo tracks in the snow if you’re going the right way. Now go right and you’ll eventually see a village. Save before you enter.