Thellim has totally been in a forest before! Several times! She's not much of a nature person, but she has been to nature ever.
That distant clop-clop sound isn't one that Thellim has heard before, even on Nature shows. She'll shove aside all the stereotypical fantasy-novel-protagonist thoughts she's been having just to get them over with out of her head, and try to figure out whether this sound is like people or - should she be trying to get away from a... dangerous animal? That happens to people when they somehow get lost in Nature without tools, right, they get killed and eaten by predators? She should have instincts for this, it's only been a few thousand years.
Well, if she's wrong about needing to climb a tree, she can always climb back down again. But figuring out how to climb trees might take time she won't have, if that's a human-eating predator. So she should get started on that now.