Free cycling in Zwift doesn't mean that it doesn't cost money for a Zwift subscription but rather that you can ride unstructured anywhere you like. Yes, you can just start riding and take any turn you like and even return the same way if you desire.
Simply log into Zwift, select one of the currently active worlds and select a route where you will begin your ride. Once you're riding, you can turn where you like or u-turn if you want. This way you can ride your own favorite sections or combine your favorite parts of different routes. When you come to a fork or 'T' in the road, you are given a directional choice on screen. Use you mouse, arrow keys or companion app to select which direction you want to go.
So you want to ride in a course world that is not available at the moment. There is a simple hack (See Switching Courses) that you can use to get around this limitation. It might be rather sparse in an inactive world but sometimes it's nice to have the place all to yourself.
You may have heard the term 'Rebel Routes'. These are routes that Zwifters have put together while free cycling that have caught on with other Zwifters through forums or meetups with friends. Over time, Zwift has taken some of these Rebel Routes and turned them into event-only routes or even made them standard routes that are now in the defined list.