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.
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.