The first time you have the chance to do this is after the fourth mission of the fifth sequence (River Rescue).
At the end of this mission, the game will explain with a short cutscene about a new type of side mission that is now available, and show you where it is (it's on the south end of the Davenport map and looks like a house).
Move towards the mission icon - the quickest way is freerunning up the trees (as the just mentioned cutscene has shown) and climbing up the rock wall.
Once there, you'll have to fight four enemies. After you've killed them, interact with the rope on the rock (on the side of the guy you're saving) to free him, and after a cutscene you'll get the trophy.
Once I defeated the enemies, I could not interact with the rope - the animus-type animation was there but the buttons would do noting and it didn't say I could interact with it. I had to quit to the main menu and reload my game; after doing the mission again, I could interact with the rope and end the mission.