The Lost Woods were not at all well known to either of the Twili, either in terms of navigation or lore.  When the others left the horses behind, Midna and Zant took the opportunity to separate into different shadows.  Zant remained with Ciela, though he found it both difficult and uncomfortable to reside in the soft shadow cast by a fairy, while the his princess tagged along with Link just in time to join his mad rush into the trees.  Surprised at the hero's impetuousness, and not understanding the name he exclaimed, she was prepared to reprimand him when the faint notes reached her, too.  Midna was intrigued by the ethereal tune, and decided that with her watching over him, Link could be allowed to explore a little further.  Certainly the place hosted an ominous portent, but after growing up in the Twilight Realm, Midna was unafraid of the leering trees.  

Before Link got far, however, Ciela appeared.  Though momentarily flustered that the fairy was trying to hold her back, Midna snapped out of her enchantment almost immediately.  The sudden trip back to the edge of the forest, however, was far less pleasant.  Faster and more painful -particularly on the eyes- than the typical Twili sorcerer's Dark Travel, it left both Midna and Zant dazed, judging by the kooky groaning emanating from Ciela's shadow.  “That's not happening again,” Zant mumbled blearily, and disengaged from Ciela's shadow.  He remained in his incorporeal, dusky form, though Midna immediately put her hair clasp back on to become full-bodied once more.  She walked after Link and Ciela on foot, giving the hero a distant smile when he looked back to make sure she was following, and Zant floated behind her.