On this page of the game guide to Borderlands 2 you will find the walkthrough description of the main mission titled A Dam Fine Rescue. While completing this quest the hero will have to embark to the locations named Three Horns Divide and Three Horns Valley.
Three Horns Divide
1) Passage to Frostburn Canyon
2) Catch -a- Ride
3) Southern passage to Three Horns Valley
4) Northern passage to Three Horns Valley
Three Horns Valley
4) Northern passage to Three Horns Divide
5) Bandit camp
6) Passage to The Dust
7) Ellie's workshop
Once you reach Three Horns Divide , use the Catch -a- Ride  found to the right of the Bandit camp exit. The next location can be reached by following road  or . Both will take you to the exact same place, so the choice is up to you. In Three Horns Valley, head to the Bandit camp gate . Drive near it and use the horn (by default Z). Get rid of a few Bandits who will jump from behind the fence. Afterwards head to the passage leading to The Dust .
Head to Ellie's workshop  and speak with her. On your way there you should be prepared to be attacked by flying vehicles and cars.
You will now have to drive around the area and destroy Bandit vehicles. After destroying one, you should find Vehicle Parts (screenshot). Once you have five of them, return to Ellie .
Speak to Ellie, approach the car wreck from the screenshot and press Use (by default E). when the car is ready, approach the Catch -a- Ride inside the workshop and choose Bandit Technical. Get inside the vehicle and drive it back to the Bandit camp .
Once again stand in front of the entrance gate and use the horn (by default Z). The gate will open. Unfortunately you won't be able to drive inside the camp, however you can still kill any Bandits in range of the mounted gun. Kill the others on foot.
Head towards the passage to Bloodshot Stronghold, which you will eventually find to be blocked. When you approach close enough, the bridge will be lowered for a short while ad you will have to fight with Bad Maw.
Bad Maw uses a shield, so you will have to attack him from the back. Keep circling around one of the buildings and shoot the enemy in the back/side when he comes out of the corner or stops. You can throw grenades at him as well. There are also explosive barrels in the camp which you should use (screenshot). Corrosive or Explosive weapon types are best for this fight.
Once Bad Maw is dead, take the Bridge key from his body and use it on the lock right next to the bridge, shown on the above screenshot. The bridge will come down and you will be able to enter Bloodshot Stronghold.
The stronghold itself is a long tunnel leading to prison cells, where Roland is being held. Keep going north until you reach the building from the above screenshot. Search the lockers inside to find some Eridium.
By going further north you will reach a big open room shown in the screenshot.
As you start climbing to the upper level, Mad Mike will show up. he might be a challenging enemy because of his powerful gun which can kill you in a couple shots. You also need to look out for his incendiary grenades. Keep out of range of his attacks at all times, hiding behind covers or running to previously cleared rooms.
Once you defeat him and move onwards, you will reach a chest behind a force field show in the above screenshot.
In order to reach it, you will have to head deeper into the stronghold. Eventually you will get to a staircase from the above screenshot, in the passage on the left side of the corridor.
Climb it, go to the end of the room and destroy the above fuse box. The field will disappear and you will be able to open the chest with a very useful rocker launcher (save ammunition for the upcoming boss fight).
At the end of the path you will find a cell in which Roland is being held. Try opening it and head back after the cinematic, as a robot will explode there in a moment.
Follow the abducted Roland, destroying the Robots you come across on your way. You will reach a passage leading to Bloodshot Ramparts. Only one path leads to Roland, follow it and you will have to confront W4R-D3N. If you have previously obtained the rocket launcher, the fight shouldn't be hard. Before being able to damage the robot, you will have to destroy its shield, which regenerates rather fast. Corrosive type weapons can deal additional damage here. Small vehicles will be circling around the robot, trying to regenerate its shield. Destroy them as fast as you can.
After defeating the boss, you will have to fight off incoming waves of Robots together with Roland. With the last enemy defeat, speak to Roland to finish the mission. Now head back to Fast Travel and return to Sanctuary.