You CAN walk to Ul'dah from Gridania, but I would advise doing your Main Story Quest before trying to go too far out of your starting zone. Those will be the meteor-looking quest bubbles with the fiery edges, as opposed to the normal (!) ones.
The world will eventually open up to you and allow you to Airship your way around, which is not only fast and safe but also fairly inexpensive compared to teleporting. I know it's a bummer because you two want to play together, but converging in Ul'dah or Grindania will mean one of you will be playing catch-up later on when it comes to story progression.
Story is important in FFXIV: It not only provides the, well, story but dungeons and game features are locked behind quests that the MSQ takes you on.
The world will eventually open up to you and allow you to Airship your way around, which is not only fast and safe but also fairly inexpensive compared to teleporting. I know it's a bummer because you two want to play together, but converging in Ul'dah or Grindania will mean one of you will be playing catch-up later on when it comes to story progression.
Story is important in FFXIV: It not only provides the, well, story but dungeons and game features are locked behind quests that the MSQ takes you on.