I'm completely revamping my solution for "Four Heroes". This guide will completely cover each character individually, what I did when I earned this trophy. There's debate over what has to be done, but by following what I did, you SHOULD earn the trophy.
Ethan
*** Spoiler - click to reveal ***You must complete at least 3 of Ethan's trials to find Shaun, 4 of them are easy enough, the fist is the hardest (IMO). When I earned the trophy, I failed the first trial.
When sneaking out of the house, I went out back and around the side to avoid the paparazzi.
The second trial (The Butterfly), I did nothing special, I just completed it.
For the third trial (The Lizard), I removed my finger using the knife stuck in the wall, nothing else.
For the fourth (The Shark), I wasn't hit and killed the drug dealer.
I didn't kiss Madison in the hotel room and escaped from Blake.
The last trial (The Rat) I drank the poison.
I had to guess where Shaun was, as I didn't have the full address. Listening to the recorder, you can hear fog horns, so pick the location nearest to the river.
Ethan saved Shaun and was free to live his life with Shaun.
Madison
*** Spoiler - click to reveal ***Madison helped patch Ethan up after The Butterfly trial and helped him escape after The Lizard trial.
Once she confronts the creepy doctor, I accepted the drink and was knocked out. Obviously, I survived the encounter the follows, killing the doctor.
At Paco's, I took off only one piece of clothing before leaving the club.
When Madison leaves Ethan's hotel room, Blake shows up, I quickly called Ethan to warn him and he escaped.
Once you arrive at Scott's, I was able to find the location using the password (Max) and when I had to escape the fire, I hid in the fridge.
Once at the warehouse, Madison distracted the cops and made it into the warehouse with Ethan.
Jayden
*** Spoiler - click to reveal ***Jayden should find ALL the clues at ALL locations. See the guide below:
I never used the drug, I ALWAYS resisted (minus the one time he uses it without played input at the end).
Crime Scene, find all the clues before speaking with Blake.
Despite Blake's desire, I did not shoot Nathaniel, I let him live.
I also beat Korda during the chase episode, and he deserved it after wasting coffee.
When Blake began beating on Dupree (Ethan's shrink), I interefered and got bitched at by him.
Not sure if it matters, but I'll add it anyways, when Jayden plays the piano in 'Jayden Blues' I did not miss any notes or take the drug.
This is a given, but after I found all the clues in Mad Jack's garage (see above for locations), I survived the fight with him. YOU MUST NOT TAKE THE DRUG WHEN JAYDEN ATTEMPTS TO ARREST HIM.
With all the clues, I was able to find that only one cop lives in the area of interest. Make sure you examine the recording of ARI from the night club and find the watch on the killers wrist.
Once he confronts the killer on the convyer belt, let him get killed. I know, I know, it says to have all 4 survive, well he died in mine but I still unlocked it. Go fig.
Scott
*** Spoiler - click to reveal ***For Scott, I beat Troy in the apartment/motel after meeting Lauren, getting hit a few times.
Once he goes to Hassan's shop, I was not able to sneak up on the robber (stepped ona chip....) and had to convince him to just leave
When Scott tries to talk to Gordi Kramer, his goons beat me up and I lost. No big effect.
You'll then go to Manfred's at some point, after he is killed, you must get rid of the evidence that you were there, I missed the phone that Lauren picks up and was hauled down to the police station.
In 'Trapped' you must save Lauren. Try to get free but find it to be useless, break the glass covering the speedometer and use it to cut the ropes holding your hands (you can also use the cig lighter). Shake and slap Lauren and then untie her (you could skip the slapping, but I hate her, so....). After she's untied, break the glass and swim to freedom.
Once in Kramer's mansion, get to him (I was hit once) and when you have the option to give him his meds, DO IT.
Hassan
*** Spoiler - click to reveal ***Minor character, but safer is better. Make sure he IS NOT KILLED during the chapter 'Hassan's Shop' . It's easy to not get killed, either have Scott knock him out or convince him to leave (see the 'Scott' spoiler).
Lauren
Original Solution below:
*** Spoiler - click to reveal ***The killer managed to kill one of the characters in the final area and I was able to obtain this trophy anyway.
Thanks MegaZeroX7 for pointing this out, you CAN use chapter select, you just have to start a chapter and then finish the game as you normally would. If you do use Chapter Select, you must enable saving (it asks if you want to save when you pick a chapter) and then beat the game by playing all the chapters from then on.
For me, I was able to get Jayden, Ethan, Madison, Lauren and Scott to the warehouse area. Jayden attempted to arrest Scott, but died in the confrontation, everyone else lived (although Scott was killed in the Epilogue by Lauren).
Based on that, my assumption is that Jayden, Ethan, Scott and Madison must make it to the warehouse (Ethan can make it by completing the trials, Madison by using the password 'Max' on the killers computer, Jayden through ARI and Scott from simple detective work. If, for some reason, Ethan or Jayden are not able to find out where Shaun is held, Madison can call one of them when she finds out the location via the killer computer, she must escape Scott's place though) if you do that, you should unlock this trophy.