Hi, here are some suggests about your questions.
Q 1: Walk straight on. I have a feeling it may be along the lines of 往前走。
A: Your chinese answer is right, 往前走,OR 一直往前
Q: 2:Cross the road/ cross over the road. Maybe 过路?
A: NOK for your usage of chinese. it should be : 穿过马路,穿过这条路,here 穿过 means Cross
Q 3: Take the 3rd right, 2nd left etc. This one I have no idea!
A: You might want to say: 第三个路口右拐,第二个路口左拐
Come out of the station, turn right, keep walking, cross over the road, carrying on walking then take the second right.
A: 出了那个车站,右拐,一直往前,穿过那条马路,然后一直走到第二个路口右拐。
Any other useful things you can think of People might need when talking about directions?
Ohters usefule language for this purpose: 过了天桥,然后.... 穿过地下通道,然后... 地铁口A / B / C / D 口出。 Because in many large city of china, like Beijing, there are many of bridge on road, or pass-through channel under the road, also, there are many subway stations, and every stations have so many Gate, called A口, B口, C口 and so on. hope can help you.