I believe Frost is speaking to the unique path we all travel in life. Every day we are faced with decisions. We weigh our options and try to predict what the outcome of a decision might be. Unfortunately we cannot predict the future...We look down one path as far as we can "to where it bends in the undergrowth" or as far as we can predict however there will always be variables preventing us from seeing too far into the future. Frost says he chooses the path least traveled by, but realistically the path we are all on is this very road he speaks of. No one has walked in my footsteps and I have not walked in another person's footsteps...we forge our own path. The option of there being two roads simply refers to the decisions we face. Further Frost speaks of keeping the not taken path for another day and never returning to travel it. To me this is not a negative statement filled with regret; it is a statement of acceptance. "knowing how way leads onto way" speaks to the fact we indeed get caught up in the path we choose or create and you can bet that that path is going to branch to another and then another. Life takes us down roads presenting new dilemmas and choices. Most people will not come back to that same fork in the road.
The poem does leave a lingering sense of melancholy mystery in my mind and I think both the "sigh" and title express this. What did the other path really hold?...This we'll never know though we`ll often wonder about. We are but travelers and all we have is the path we're on...and it really is the only one that makes a difference.
This is just my interpretation, only Robert Frost knows what the poem was truly about, if it does indeed have a definitive meaning.