When given control of Cecil, go right and talk to Kain. Exit through the south door and you will see three chests in an enclosed room. Go in front of it and press the switch on the left to open the door and pick up a Tent, an Ether1 and 480 Gil. There�s nothing much else to do so go up the stairs on the far left and continue until you meet Rosa. After talking to her, go through the south door and head north, meeting Cid. Go into the tower and climb to the top floor. Get into bed, and Rosa will come up to meet you.
Next morning, Cecil and Kain will leave for Mist. After the short introductory scene, head into Baron Town.