After you talk to Zeus, you should continue on to Attica, where you can reach Athens and visit Athena.
Go to Attica
Leave Zeus's temple and go to the right. You have to defeat the bull again. Keep following the path until you are back in the forest of Arcadia, in front of the white house. Go to the left to the next screen, and go through the lower door of the house. This takes you to Attica.
Go to Athens
In Attica, there will be a small monster that throws a spear at you when you get too close. Approach it and jump over its spear to avoid getting hurt.
There are also Satyrs jumping around randomly in this area. Just hit them with your club to kill them. Be sure to gather any Olives or Bay Leaves that they drop.
Go to the right until you see some stairs under you in the white wall. Press down to go down the stairs. This takes you to the town of Eleusis. Go to the right until you reach a new screen. Keep going to the right until you find a door. Press up to go through it, then follow the path and you will arrive in Athens.
Go to Athena's Temple
In Athens, you will encounter more Satyrs, but also Scorpions. The Scorpions will move back and forth until you come near, at which point they will rush toward you. You have to kneel and hit them twice with your club to kill them (they become invincible for a moment after you hit them, so you can either swing your club repeatedly, or wait a moment before hitting them again).
Go to the right until you reach the next screen. Go to the right again and you will find a second fountain. It's a nectar fountain. You can kneel at this fountain to refill your health. If you need to refill your health again, you will have to go to a different screen, then come back to the fountain screen.
After that, go into the door to the right of the fountain to enter Athena's temple.
Go to the right and press down to kneel, then press the attack button to speak to Athena. She gives you the Shield of Athena, which will block spears and arrows. Kneel to pick up the Shield.
Talk to Athena again to get a password. This way, you won't lose your olives if you get a game over, as long as you choose Retry.
After this, you need to defeat the Lamia who kidnapped a child from Eleusis.