I am doing something wrong with galloping. When I mount Roach, I can get him to to go in any direction. Once I start to gallop (double click left shift), the stamina bar appears, but once I try to change direction, the galloping stops. This is probably something simple that I am overlooking.

Just started the game, so no spoilers please! :)

Double tap "Shift" and hold Shift while pressing "W". Control the direction by moving the mouse; don't use "A" or "D" for this purpose.

That did it! Thanks!