We were taken to Helgen, but before I could be executed a dragon appeared and attacked the town. I have been captured by the Empire and sentenced to death alongside the Stormcloak rebels.
Helgen Reborn Walkthrough Journal Entries Stage
Either way, after the bear you will follow Hadvar or Ralof through an opening in the walls, which will take you outside in time to see Alduin fly off towards the north. The fight will not be particularly difficult, as you have the aid from your escort, so it is entirely up to you how you want to proceed.
You will be advised to sneak past it, but you will also receive a bow and some arrows if you want to ambush it. After this cave, you will encounter a sleeping bear. These will spit poisonous venom at range, and can leap to attack you. You will encounter frostbite spiders in the next large cavern.