Firstly, the assumption you're making is well-meaning, but wrong: as DM you shouldn't feel like you can never “break character” to just speak as a person to the other people at the table. You're playing a game, and sometimes you need to pause playing and just talk about the game directly. It may seem counter-intuitive, but games work much better when you've all agreed to play together in the same way.

Avoiding avoiding the adventure

When players start doing things that will result in not going where the adventure is, or defeating the point of the adventure before it even starts, you have many options, enough that there's too many to really detail in one post. Some of those methods are in-world, and some of them are not.

In general, you want to choose a way that works and that is appropriate to your personal level of DMing skill. As a new DM, that means that the more subtle, clever ways are actually likely to be poorer choices, because they take experience to pull off successfully that you don't have yet.

A non-exhaustive list of methods:

1. Just tell the players. “Hey people, the adventure isn't that way. We could go that way if you want, but I have nothing prepared in that direction and I'd rather not be making things up on the fly.”

   This is the easiest method, is very fast, and tends to be very effective, but it has no subtlety. Still, just talking about what's on your mind is often the right choice. What it lacks for subtlety it makes up for in speed, so it may actually be more fun than a more subtle in-world method, since it lets everyone quickly get back to the fun stuff you've prepared.

2. Let them do or go wherever they want, but move the adventure's start so that it's in front of them anyway.

   This is very effective, and requires no out-of-game conversation. How simple or complex it is depends on the details of your adventure, since it's easier and more obvious how to move parts of some adventures and harder for other adventures. However, this method is also “politically” fragile for your group: if the players (not the PCs) realise that no matter what they do, what you want to happen will always happen (“railroading”), they can become unhappy at their lack of agency and unhappy with your game. On the other hand, some players prefer an entertaining story more than having choice, so it depends on your particular players.

   (In online jargon this method is called the “quantum ogre” technique, and there is controversy over whether it's a good or bad idea.)

3. Just let them avoid the adventure, and improvise what happens next based on what makes sense for their actions and what would be fun to make happen. Save the adventure for later when they do go in that direction, or recycle its parts for a future adventure.

   This method gives players maximum agency, but also requires skill at improvising from the DM, so it's not necessarily a “beginner DM” strategy. On the other hand, some DMs have natural talent at improvising, so it's worth considering. It requires no out-of-game conversation, but is not always as fun as running prepared material.

   D&D in general has decent tools for improvising — when in doubt, you can always improvise an encounter with hostile monsters pulled right out of the Monster Manual, which will usually (though not always!) turn into a fight that will be fun and fill session time. Another favourite of mine is to have them run into a non-hostile NPC's home, where they can talk to someone who knows the area and have a bit of friendly roleplaying (though not always!).

   (In RPG jargon this is sometimes called “sandboxing”, though some people use that term for only when the whole campaign is intentionally designed to let the PCs wander wherever they choose. A more general term is “improvisation” or “improv”. Many campaigns are almost entirely improvised!)

4. Let the players go where they want, but tell them that's what's happening. “The adventure I prepared for isn't this way, but you can go that way if you want. Just so long as you're all OK with me making things up that might not be as awesome, OK?”

   This method gives players agency both in-game and out-of-game: they can make the choices that they want to make for their characters, and also the players themselves know that they're choosing improvised adventure over prepared adventure. They may even suggest that they would rather play the prepared adventure, in which case this method turns into method (1) above. Or they may be fine with improvised adventure, which turns this into method (3) except with player “buy-in” to an improvised session.

5. Make the PCs' lives difficult until they go the “right” way. This isn't actually a great idea, and is mostly included because you can do it, and it can seem like a good idea at the time, so it's worth mentioning its strengths and drawbacks.

   In general, the only strength this method has is that you can avoid “breaking character” by talking about the game as people at a table. The downside of this method is that it's unlikely to actually work: the players are unlikely to notice that you're trying to change what they're doing, and even if they do notice that the game is being extra-hard, they're still unlikely to guess that it's a message. The players are more likely to just think you're being mean for no reason, get frustrated, and become unhappy with the game.

6. Set a fresh “hook” by using one or more of the PCs' personality or background details to attract them in the direction of the adventure. This can be an NPC related to them having information or being put in danger, an obvious clue that a villain they've met and personally hate is involved, or some other motivation that you know the players care about. The key here is that it's something the players care about and will want to see more of — it's the players who you're motivating, through their characters.

   The advantage of this method is that it's entirely in-game, and because you're incorporating things that the players have created or contributed to the game, they will be more invested in seeking the adventure and in its results. Roleplaying is inherently collaborative, and there are few things more rewarding than seeing something you've created picked up and built upon by another person at the table — and that goes double for players, who often don't get to make those kinds of contributions. The downside here is that if this method is used too often it can become an obvious pattern, and some players will react negatively and it will stop working. On the other hand, if your adventures are normally woven out of many strands of the PCs' pesonality, background, and contacts, then it will just seem normal no matter how often it's used — but running that kind of campaign takes either experience or having a particular talent for orchestrating dramas of interpersonal relationships.

These are just a few general methods, not a complete list — there are as many more ways as there are DMs to think up ways to respond.

In summary

Don't worry so much about just talking about the game. A roleplaying game is not like a TV show or movie, where the audience never sees the actors out of character. In a roleplaying game you are both the actors, directors, and audience — and real actors and directors have to talk to each other out of character all the time in order to make the TV show/movie work. Same for you and your group: you will have to take short or long breaks to talk about the game, sometimes.

(Besides, if you set your heart on always being in-character, you will just set yourself up to be frustrated when your players break character! Speaking out of character to tell a joke about what's happening or to ask others if they want anything when they get up for more snacks is common and normal. Very, very few players make it a priority to stay in-character for the entire game session — few enough that you may never meet one.)

Focus instead on choosing a method that will be effective at continuing your evening of entertainment, and that will be simple enough to accomplish with your level of DMing skill. Avoid trying to do “fancy” DMing techniques right away — you need to learn to walk before you can run, and there are many, many basic things to learn and get skilled with when you're first starting to DM.

An aside about building the “perfect” world

Building worlds is like cooking: the first time you try to make a particular dish rarely turns out how you wanted it to — like cooking, good worldbuilding is the result of never-ending practice. Trying to make a big, amazing world the first time you build a world is like trying to make a fancy wedding cake the first time you ever bake anything.

To get practice, DM little games in little worlds — worlds just detailed enough for the adventure at hand. Make the worlds to serve their adventure purposes, and make them disposable so you can try ideas without needing to make a commitment forever to those ideas. Running a few short (1- to 6-session) campaigns in little worlds is an excellent way to get practical experience. The lessons learned from actually running games in actual worlds you've designed will teach you how to run games better, how to build worlds better, and how to recognise what kinds of world details are actually important for a world meant to be played in.