On this page of the game guide to Borderlands 2 you will find a detailed description of the side mission titled Safe and Sound. You can start this quest in the Sanctuary location during the completion of the main mission named Bright Lights, Flying City.
3) Safe entrance
4) Marcus' safe/Blue
6) Fast Travel
Speak to Marcus  in his shop to accept the mission. Use Fast Travel, move to Three Horns Divide and head to Sanctuary Hole. Fight your way though groups of Bandits (kill 25 for additional experience) to reach the elevator from the above screenshot.
Take it down and the warehouse gate (screenshot) will open up and enemies will come out from inside. Head to the other side of the warehouse and use the elevator on the right side. On the lower level you will find a passage leading to Caustic Caverns.
Go to the eastern edge of the map though the tunnel . At the end of path you will have to fight with Blue . His weak points are the crystals on his limbs, shoot them for critical damage. Blue can summon Exploding Mini Crystalisks which you should use for Second Wind. Once he's dead, open the chest and take its content. The exit can be found by using the descent marked as on the map . Use Fast Travel  and return to Sanctuary. Now you will have to decide whether to hand over the items to Moxxi  in return for a weapon or Marcus  for a Relic.