This quest becomes available after burning the cinema reels in the main quest “Rescue”. As you explore the city, you should have come across Keepsake Photos. This quest is a repeatable one and the photos respawn from their original positions. You can refer to the screenshots below to learn their locations.
You'll find Nina in a narrow alley in the southern-middle part of Henderson. Refer to the map below to find her exact location. Kill all enemies around her and talk to her to start this mission.
After getting the mission, take the stairs north of her position then go up to the ledge using the small pile of crates. Jump to the roof and make it to the second floor door of the building. Clear all enemies then try to open the fuse box. Remove the barricade in the nearby door and kill Nina's sister. Loot the key from her corpse and open the fuse box. Turn off the power and go downstairs and clear it off enemies. After reaching the basement where Nina is hiding, talk to her to get your reward and complete the quest.
Just as a side note, Ladies First is available as soon as you can leave the Henderson Marina. As are Superhero and The Dead Can't Dance.