How do you get out of the Golden Saucer Desert?

When you run into a house Barret will come in, shoot someone and then tell a story. Then you have to go into the big desert part (above the massive crack) and then you run right next to the crack to the right. In the next bit you have to follow the path then Barret will battle that man. When you have done that you have to race on a Chocobo to get out.

I take it you mean the prison where Dio threw you down, straight after you take control of cloud again follow barret through the gate and walk down to the small house on the right.

Go in, you learn there is another man with a gun arm, Dyne, now you must now take barret on a mission to see him, go to the top of the screen an there will be a fence with a little gate that is now open, soon as you walk past there you will be in a desert, continue walking right and you should get to a metal scrap yard, before you head any further equip barret because he's going to fight Dyne by himself, equip barret with restore materia, and seal materia (the one that casts sleepel) its really useful because you can heal while he sleeps, and you can hit him with elemental attacks and he won't wake up, he'll only wake up if you attack him, that includes limit breaks.

Once hes been defeated you will have to Chocobo race to get out of the desert prison, when you are racing press select and choose the Chocobo to race on manual then hold down R1 and R2 the whole race to stop your stamina level going down, which is a sort of cheat.

Good luck.

You have to find Barret who is in one of the houses in the area.

He will tell you another story about him and Dyne.

You need to find Dyne in the desert.You must have Cloud and Barret in your party.

When you find Dyne Barret and Dyne have a little chat and then you fight Dyne alone as Barret.

Keep using the potions and blast Dyne with your limit break when you get the chance.

When the fight is over Dyne will commit suicide.

After this it's pretty linear.