A fief can be a village, castle or a town. You enter them by clicking on the name on the map, and then choosing "Enter (fief name)". If you are close enough to a fief You cannot cross over rivers without going over a bridge, and steep cliffs (which have borders bolded in black, like a Sharpie pen). Most fiefs are player controlled, and they can set the visiting fee from 1 gold to 100 gold per hour. If you have no gold, you will not be able to stay in the village and will be auto-kicked out after you enter the fief and the clock strikes any full hour (like 10:00 for example).
Also the owner of the fief can kick you out for any reason if they so choose.