Step 1: assemble a team of 1-3 adventurers. You'll need an open spot in your party.
Step 2: go to the overworld map, and click on the flag-button in the top-left of the screen.
Step 3: Carry out the mission for the character you want to save, keeping an eye out for the room with the "slave" icon (a bunch of chains).
Step 4: defeat the guards in the "slave" room, then open the door to where your character is kept and rescue her by walking over her. This puts her in the party (hence why you need an open spot.)
Step 5: Make it to the exit as normal.
Hope this helps!