Shane's men have been captured by the DUP and he wants you to free them. When you get to the area where Shane's men are being held, you'll notice a bunch of DUP soldiers there, including a few Knights and even a Bishop. Take your time and use the surrounding area to your advantage, or just use the Neon Singularity if you have one ready.
If you've played Second Son, you'll recognize the cages that Shane's men are in, but if you didn't, then simply go up to the door and use the Touch Pad to open it, free Shane's men. After opening two pens, some more DUP guys will show up, including a Rook (they have the minigun). Clear them out and open the last pen, finishing the mission.
