When you finally gain control of your character, go forward and take out Li Meng to open the gate. One thing you shouldn't do is even get close to Lu Bu, as he'll likely be way too strong and will kick your butt before you say his name. The next officer, Li Jue, will open the next gate, which lead to some underground stairs.
Follow the path until you come out again, where you see a message about a gate closing. Defeat Xu Rong and then find the opening where you can jump down to the area below. There will be four ballistas here that will keep firing upon you until you defeat Chen Gong, so make sure you concentrate on him.
As you approach the next area, you'll see Diao Chan chime in and say she will help you escape from the battlefield. Before you can do that, you'll need to defeat three officers in the next area. Once you do, follow Diao Chan until you get to a bridge. When it's lowered, Zhang Liao and Li Su will both appear, so defeat them both and then the path to the escape point will be clear.
The Hypothetical situation in this battle requires you to defeat Lu Bu before you escape, which can be a tough thing to do considering he can kill you very easily if you're low level. It also doesn't help that he doesn't flinch when being hit, either, even if you have an advantage over him with your weapon affinity, although you should still have it.
When you start, you could go straight after Lu Bu, but it's best to wait and come back at a later point once you level up some. During the actual battle, do it normally to build up a Musou attack or two to help out in defeating him. If you feel like he is going to attack, move away from him. If you have that much trouble doing it, then set the difficulty to Beginner before starting the battle.