I think that what @Ross said was the most accurate:
Yes, you can move quickly from one distant point to another, but that's of no benefit to Trinity, Morpheus, or any other awoken Matrix users. On the freeway you're locked into a narrow corridor with exits only every mile or more, and any car near you can become a weapon in the hands of an agent.
But I'd also like to add a few points of my own. In the first movie, hidey-holes and sewers are where they prefer to hang out. In a world where any earthly force can be turned against the "red pill-ers" without repercussion, a long, exposed stretch of road, driving vehicles that are several ton weapons in the wrong conditions, and are moving too quickly to maneuvre well, it's basically a death trap. Anything from shipping trucks to the armed forces can be leveed against them. In fact, we see two agents, when hand to hand and weapons combat fail, take over the shipping trucks and crash them into each other in order to kill the "red pill-ers." There are also no hard lines from which to escape the Matrix, which is the only proven way of "winning" against the Agents.
Combine all this, and it's easy to see where an exposed highway full of strangers is suicide.