Silent Hill was... not a good movie...

[Weltall]

The reason that Harry doesn't know Silent Hill is an abandoned ghost town in Silent Hill 1 is because it isn't. Harry sees it that way, but that's because he isn't in the real Silent Hill. The truth is, Harry and the characters he sees are in an alternate reality under Alessa's direct control. It's not entirely unlike the movie, except that in the game, the real town of Silent Hill is still normal and unaffected by anything you encounter. This is also the case for the other games as well. You never see the real town, and the real town never sees you. It always goes about its buisness while you're trapped inside of realities beyond ours.

Therefore, it makes perfect sense that Harry would decide to go to Silent Hill and not think twice.