Follow Frea to the exit. As you reach the surface, the woman will draw your attention to the nearby Wind Stone. Approach it to unlock it on the world map (you will return here later on in the game) for now, head to the Skaal Village, where the brave warrior will lead you.
When you get there (the journey shouldn't be problematic), wait for your companion to speak with the elders. Afterwards approach them yourself and explain what happened.