To enter a location directly from the world map click on the triangle icon, available when you stand still. It will move you into the location and in-case it’s a Town straight on the main entrance. It is however advised to press the Town World button. This will bring you a menu, where you can see the available entrances to a certain city. Click on the triangle with an eye in it to see the preview.
This preview will show you the area (based on your Perception) you enter (this way you can avoid getting yourself killed right after entering the town). Remember to preview location you want to enter few times so you get view from diffrent 'spawn points'. You can highlight contours of players and NPCs covered by buildings by pressing Contours button while previewing location.