Gandalf believes that the siege at Helm's Deep will begin soon, and that you can make it there with more haste than he with so many foot soldiers in tow.
'Let us all make for Helm's Deep at once. ${PLAYER}, you must ride at once to the aid of King Théoden. Shadowfax and I will go with Erkenbrand, Grimbold, and Dúnhere -- at whatever pace this army of foot-soldiers can move.
'Hurry, ${PLAYER}! Do not miss the closing of Helm's Gate against the enemy, or you will be on the wrong side, and you will not survive the approach of the horde.'
Erkenbrand is at his camp in the hills at the western edge of the Westfold.
You should speak with Erkenbrand.
Grimbold is at his camp in the hills at the western edge of the Westfold.
You should speak with Grimbold.
Gamling is at Helm's Dike in the south-western Westfold.
You should hasten to Gamling before the battle begins.
King Théoden stands upon the walls of the Hornburg.
You should offer your sword to King Théoden as the Hornburg steels itself for battle.