After some cutscenes, you will need to follow your brother. Keep following him until you get to a shack, where he will tell you to grab the stuff on the table. Press the designated button, then continue following. Not that much farther along, you will need to toss a rock at the marked spot, which will distract the guard and allow you to sneak past him.
Climb up through the window, then continue on. Eventually, you'll reach an area with some plants, so hide in them and you'll have to throw another rock to distract more guards. Do that and then keep going until you have to climb up some boxes. Not too long after that, you will crouch and make your way under a bridge of sorts, and when you reach the other side, a cutscene will occur.
During this cutscene, your brother is shot and a button will appear, which will make you hold your hands over his wound. Keep it held until he dies and you will have to make your escape. Just keep the sprint button held down and follow the path given to you. Eventually, you will reach a small space you need to crouch to get through and when you get out on the other side, an enemy will find you and try to stab you. Just keep mashing the button to kill him, then make your way across the bridge, which will collapse and begin your perilous journey.
Escape the pirates and survive in the wilderness.