Vaas is keeping some prisoners (your friends) at P.C., which Dennis figures out is Pirate Cove, but they call it Sunset Cove. There's a Radio Tower southwest of the objective marker, so if you haven't gotten that yet, do so now. If you go by water, be careful of sharks (only if you're swimming). Note that the objective is southeast of Earnhardt's mansion, so you can fast travel and start your journey from there.
Once you arrive at the objective marker, try and do a Takedown on the enemy there, then disable the alarm nearby. Take out your camera and tag all of the enemies you can see, which will be plenty (at least 8-9 more, including one in a tower). There will be one with a yellow tag, which is the operator and who has the key for the prison.
You can do a lot of it by sneaking around and using a Takedown on the enemies, but you might eventually get it down to a good ol' firefight. If that happens, there's plenty of cover to hide and kill each enemy one by one. Once you kill all of the enemies, loot the keys from the operator and go explore the prison.
It should be noted that there are more enemies in the cave, so if you don't have much ammo left, take one of the weapons and slowly move inside. In the first area, you will need to be extra careful of the explosive barrels, since they can hurt you greatly, although if you get to them first, then it'll be a great help.
When you go up the stairs, there will be another 5-6 guys below you, so use the stairs and the cover there to play peekaboo with them. Once they're all cleared out, head to the marker and go through the door (Relic right inside the door on the left). Continue along the path until you are ambushed and a cutscene occurs, which will bring this mission to an end and the next mission will begin.
