Because I see new Mastodon struggling with that and it's not so straight forward to explain in text, I recorded a video explaining 3 Ways to Follow People from Other Instances on Mastodon:

https://tube.jeena.net/w/hVcB6kRvbw7FTyYqEZUvre

I hope it helps newcomers and when you see someone struggling understanding this, please share that video with them.