She's not referring to that specific street they look down when she says "that road." That street is representative of his path through life. Remember, the first word shown on his computer screen while he's asleep at his desk is "searching." (That word fuses that scene with the one before it, when the agents are standing at the spot where Trinity "got out." Agency Smith says, "We're going to need a search running." So they are searching for Neo, and Neo is searching for the truth.) "Searching" is the state his computer is in and it also refers to what Neo has been doing with regard to his life. He knows there is more to life than being a drone in an office and making black market software for money. So when he's in the car in the rain, he's at a cross-"roads" in his life. If he rejects the help and guidance of these people and doesn't take this opportunity to move forward with his search, with his life, he will be back to his life "lived in computers," as Smith says in the interrogation scene.
That rainy, dark, empty street--a street you can't see the end of--is a metaphor for the life in which he will remain if he takes no risks, never goes out of his comfort zone. He will remain in a life of isolation, darkness, emptiness. And having been watching him--watching him follow the white rabbit, ask the question (what is the Matrix?) and go out in the rain to meet them--Trinity understands that Neo is willing to keep searching, that he doesn't want to go back down that road, and that they have to help him and keep him from going back.