People don't know what to do, where to go when faced with an unfamiliar environment. Often people don't know what's socially expected of them either. While the "obvious" answer is to ask when you don't know, and to tell NewBies, that's not the most practical answer.
First, many people are embarassed to admit they don't know what they are doing. They don't want to do something that's socially unacceptable by accident, so the natural reaction is to stay back, do nothing, and observe. Second, often people don't know they aren't aware their behaviour is not what is expected. Third, while expectations may be minimal, one may want to encourage others to do certain things.
Therefore, place guide posts to hint to people that a certain path not only exists but is interesting or expected. Unlike the exclusive definition below, these guide posts suggest paths different from the mainstream.
For example, on this site, a link to [Categories] appears in the goto bar. The guide post here is to encourage people to categorize. It's not an overt encouragement, and the pressure to categorize is small (for excessive categorization is aggravating), but it hints that categorization is something important and worth doing.
Another example, KuroShin places a link to "Review Hidden Comments" in the userbox of the Trusted Users. There, because only trusted users can peer review the ratings of hidden comments, this link encourages trusted users to keep an eye on each other. Because this link only appears to trusted users, it is somehow special, and the intended connotation is that it's a link that trusted users are expected to click on.
So, we see that you can guide people to do what's expected to them subtly but effectively. Next, we look at preventing people from doing what's unexpected.
Placing a line of rocks on either side of a path is better than roping off the path. People will understand where to step without feeling claustrophobic.
People get angry at fences. They get even angrier at electrified fences with razor wire. The sheer arrogance of suggesting that you cannot know what's inside. Not to mention the fear and anxiety of the unknown.
In general, people are much more happy with open and transparent people, places, processes. (cf. OpenProcess)
But you can't have them just going anywhere. If people were allowed anywhere in a reserve park, they'd trample the whole thing underfoot.
Instead, make a clearly defined path, but use soft markers like the rocks or the edge of the trail. On a web site, don't force them from one page to another, but make it clear where you expect them to go.
That way, even though some people are likely to go "off in the weeds," not enough to cause trouble.
On the other hand, some guides aren't really optional. A friend told me a story of a time he visited an air show at a US military base. He was interested in fighter jets, and wanted to see one of them up close. He walked away from the crowd toward one of the planes. He crossed a painted line on the ground, and suddenly guards with military rifles ran toward him yelling for him to stop. He was forced to the ground and searched for weapons. After a bit of discussion, he was let go, and told to keep away from the planes. From what he said, the guards had authorization to shoot in order to protect the planes. (Obviously they didn't think he was a serious threat.)
In addition to the guiding signs which delineate who should and should not (eg. "Employees Only"), there are also those warning signs that foretell bad things (eg. "Trespassers will be shot"), or even foretelling neutral things that may have a negative social side effect (eg. "Fire Exit door is alarmed"). The difference between the two is the source of the punishment: a PoliceForce or similar HardSecurity protagonist, and a social/community sourced effect (eg. shaming).
More extremely, the U.S. agency responsible for disposing nuclear waste has been thinking of safe ways to dispose of long term waste. They preparing to store for the LongNow material that that won't decay to safe levels for 12 000 years. They will use a number of redundant and overlapping markers. For example, on the surface, they will erect a large structure 100 feet wide and 33 feet tall. Buried in this, they will place radar deflectors and large magnets. Around the perimeter 2858 feet x 2354 feet perimeter, they will erect 25 foot high granite monuments, engraved with warnings in seven languages. And more.  For neat pictures of proposals, see . Link 1 currently dead. Link 2 updated.
Here is a [Persuasive Technology Lab] that seems to be trying to develop ways to embed GuidePosts in devices (although I have not read too deeply into their site)