To begin this quest you must speak with Erinna, who can be found south west of central Korinth. Erinna will inform you that one of her girls has gone missing, but she has it on good information that she might have been taken aboard a ship. Follow her to the ship. You can mount the horse next to the one that she mounts. When you reach the dock, Erinna will point to the ship which you should pursue and board to rescue Kleio. Get to your ship and sail out to meet it.
Note: You should be careful not to destroy the ship. If you do Kleio will die. Instead, damage the ship so that all of its health is depleted. You can then approach and board it to kill the bandits and rescue Kleio.
As you approach the ship initially, aim for a high speed ram to its side in order to inflict the most amount of damage first. You can then gradually fire at the ship until you have depleted the health bar completely. At this point you should board the ship and defeat the bandits. A cut scene will then initiate in which you will speak with Kleio. You must then decide whether to let her go on her own way, or bring her back to Korinth. Whatever you decide, you should return to Erinna to inform her and complete the quest.