You can move Link freely in any direction by sliding the circle pad in a desired direction. Link can walk anywhere as long as there are no obstructions, such as walls, rocks or bottomless chasms.
Some obstructions can be removed–for example, you can cut down bushes or lift up small rocks–but don’t expect to move a mountain out of the way. Height may also be an obstruction; Link can drop down to lower ground, but he cannot climb up to higher ground unless there’s a ladder or stairs.
The entire game world is divided into a number of rectangular screens, some large some small. You will know when you reach the edge of a screen when the camera stops following Link all the way.
If there are no obstructions at the edge of the screen, you can leave the screen by moving past its edge and appear in the next screen. This is true for indoors as well–you can leave a room by heading for an open door at the edge of the room.