Go forward and start taking out the Yellow Turbans in front of you, including one officer and then a man named ??? (who is really Xu Zhu, if you have never played a game in this series before). He will temporarily withdraw and you will need to find him. The game tells you to search the western garrison first, so head there.
When you go inside, the gates will shut and you'll find out he isn't in this one. You will need to go and investigate the northeastern garrison, so start heading to the west and go through the middle, defeating the officers in the way. When you reach it, there will be no big man and you'll have to face off against another officer.
You find out that the remaining forces are in the northwestern garrison, so start heading in that direction. When you get to the garrison, you will have to fight one remaining officer. The battle seems to be over, until the big man from earlier returns. Defeat him and the battle will truly be over.