Exodus in America is the first mission in Red Dead Redemption. Once you start single player up you spawn in behind the theater. You need to run to the saloon by pressing A, it will be a blue dot on your map. You run there and there will be a cut scene I recommend to skip it just trash. Then you get on your horses and you follow "Jake" to a fort. When you get to the fort you go into a cut scene. It shows you talking with a guard and you draw your weapon and he shoots you in the rib. You wake up somewhere unfamiliar and get a tour around there . Mission is over.