So when you hit the last stage of Mirkwood and you gotta look for spider ype cards and put it on play, do you have to choose creatures or can you choose locations that are from the spider type?

It has to be a creature that is a spider. If you're playing solo, your best bet is to find Ungoliant's Spawn since you need to kill it to win.

Yeah, the key thing to understand is that "Don't Leave the Path!" references cards with the Spider trait. If there were locations with that trait, you could choose them to satisfy the "when revealed" effect. But there aren't, so you will have to select enemies like Forest Spider, King Spider, or Ungoliant's Spawn.

As Cotillion noted, it is usually best to make Ungoliant's Spawn one of the selections unless you are absolutely unable to deal with it. Otherwise, the game will drag on and on until you reveal the Spawn during a quest phase.