I understand that Morpheus and Trinity were going there to use an exit, but where was The Keymaker going to go? He couldn't go back to the real world, could he?
EDITED to add this bit of dialogue to show that they are indeed running to the Winslow Overpass to get an exit.
Morpheus: Get us out of here, Link.
Link: That won't be easy, sir.
Morpheus: I know. We're inside the core network.
Link: Yes sir. The only exit I got near you is the Winslow Overpass.
Morpheus: Off the freeway?
Link: Yes, sir.
Morpheus: Fine, we'll make it.
It's clear they change plans once the tyres are shot out, and then again when Neo rescues them. But I still think it's unclear exactly why going specifically to the Winslow Overpass for an exit will help The Keymaker, rather than saying something like 'let's use the confusion of the freeway to allow our getaway from the agents/twins'