They knew the way because it had already been given them (Romans 10:6-8). Jesus had just spent the last three years teaching them the way. If they follow His teaching, they will find the way to heaven.

Romans 10:6-8  But the righteousness that is by faith says: “Do not say in your heart, ‘Who will ascend into heaven?’” (that is, to bring Christ down)
  “or ‘Who will descend into the deep?’” (that is, to bring Christ up from the dead).  But what does it say? “The word is near you; it is in your mouth and in your heart,” that is, the word of faith we are proclaiming:

Note that Christ is willing to make the best of His people’s knowledge, though they are weak and defective in it.

Bethsaida means “house of fish.”  There may have been 2 Bethsaidas, one on the southeastern shore of the Sea of Galilee where the Jordan River empties into it (Bethsaida Julias), and the other on the northwestern shore of the same lake, near the town of Capernaum, Bethsaida of Galilee. 

Since this is also the town of Andrew and Peter, Philip would be more inclined to follow their example of following Jesus.