East of Clock Town, you find Ikana Valley, a rocky area where a ghostly figure sits atop a cliff. This area leads to Ikana Canyon, the next destination after the Great Bay Temple.
Enter the Valley
When you first enter Ikana Valley, your path is blocked by a fence. Call Epona and use carrots to jump over the fences. Get off of Epona when you see a wooden sign. There is a cliff in front of you and someone is sitting on it.
Nintendo 64 Version: Get the Stone Mask
If you are playing the original Nintendo 64 version of Majora's Mask, you can get the Stone Mask here. If you don't have the Stone Mask already, look to the right of the cliff to see a circle of stones. Use the Lens of Truth to see an invisible soldier in the stone circle. Talk to him to get the Stone Mask. In Majora's Mask 3D for the Nintendo 3DS, the Stone Mask can instead be found in the Pirate Fortress.
Get the Captain's Hat
Go west from the cliff to reach Ikana Graveyard. Go all the way to the back to reach a building. Play Sonata of Awakening to wake the skeleton up. As soon as you can, shoot the skeleton with an arrow to stun it. Kill the Stalchildren that come up from the ground and wait for the flames to go away. When you get close enough to the giant skeleton, hit it with your sword. Repeat this strategy. Eventually the skeleton starts jumping into the air to land on you. Run out of the way and hit it with your sword. When you are done done, you can access the chest beyond the flame. Use the hookshot ot reach it. Open the chest to get the Captain's Hat.
Learn a New Song
At night on the first day, wear the Captain's Hat and go into Ikana Graveyard. If you wear the Captain's Hat, the Stalchildren won't attack you, and you can talk to them. Go to the grave that has three Stalchildren walking around it. Talk to any of those three Stalchildren while wearing the Captain's Hat, then ask it to open the grave. After the grave is gone, fall into the hole that was revealed.
Jump to the doorway with the torch in front. Go through. You can kill all of the Keese in this room to reveal a chest that contains 50 rupees. Otherwise, light the three torches in this room with Fire Arrows or with a Deku Stick (using the torch in the previous room). The first two are on either side of the door that you came through, and the last one is next to the locked door. Go through the door after lighting the three torches.
There is an Iron Knuckle in the middle of this room. Hit it to start the battle. It moves slowly, but its axe attacks are powerful. Because of its slowness, it is vulnerable right after it uses its axe, so run up and make it use the axe, and run out of the way of the attack, then run up and hit it right after it uses the axe. Alternatively, you can damage it with bombs. Repeat this process until some of its armor falls off. Now it can run, but it still is vulnerable right after using the axe, so repeat the process as before.
After the battle, there is a cutscene. After that, check on the gravestone that was revealed. You will learn the Song of Storms. You can use this song to remove a jinx, such as when a Blue Bubble (i.e. flying skull surrounded by blue flames) hits you and jinxes you. You can also use it to water magic beans instead of having to use a bottle of water to do so.
Reach the Canyon
Go back to the person sitting on the cliff in Ikana Valley. Wear Garo's mask. If you don't have it, go to Milk Road (in southwest Termina Field) and take Epona to the Gorman Racetrack. Win the race against the Gorman Brothers to get Garo's Mask.
Back in the Ikana Valley area, walk over to the person sitting on the cliff while wearing Garo's mask. The person will make a tree grow, then will disappear. Use your hookshot on the tree.
Run along the path, avoiding the rolling boulders. There are also monsters that pop up out of the ground called Nejiron. They explode when hit.
At the end, you reach Ikana Canyon.