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Pre Requisites.
The Road to Aht Urhgan
Most people will have done this already if they have the expansion. This is the Boat Pass 'Quest'.
NPC Starter:
Faursel, inside Tenshodo HQ in Lower Jeuno (Neptune's Spire).
You must have Tenshodo membership to start this quest. You may buy a membership item from the auction house (Others>Misc) use it, and then resell it.
Talk to Faursel and he says some stuff. Then talk to him again and he asks you to choose a list.
The list you choose determines the items you must bring him.
They are as follows:
The Beginner's List: all of these items: a damselfly worm, a magicked skull, a crab apron, a wild rabbit tail, a cup of dhalmel saliva, a bloody robe. That is to say, all of the sub job quest items.
The Intermediate List: all of these items: a jade cryptex, a silver engraving, a thirteen-knot quipus. I'm not sure on the engraving, but the other two are Garrison items.
The Advanced List: One of these items: one coffer key from any of the following: Davoi, Beadeaux, Castle Oztroja, the Temple of Uggalepih, the
Den of Rancor, the Quicksand Caves, or the Sea Serpent Grotto.
A job testimony, or a set of Pso'Xja chips (a carmine chip, a cyan chip, and a gray chip)
Trade your chosen items to Faursel and in a day your Boat Pass will be ready!
Mission One
Land of Sacred Serpents
Congratulations, you've arrived in Aht Urhgan Whitegate!
I'd suggest getting the maps first; Just north-east of the dock is an npc called Riyadahf. He's next to a stall.
Now you're ready!
If you go up the steps in the area you're in and head to the east, there's a room there called Salaheem's Sentinels.
Go inside and talk to the first NPC you come to.
You'll get a Cut Scene.
Mission Two
Immortal Sentries
Naja Salaheem asks you to deliver a supplies package to the immortals at the staging points.
This is where you start to really do things.
If you're high level or can go with a group of high levels, you can probably pick any staging point to go to.
I'm only whm 53, so I looked at ffxi-atlas.com and worked out that the Leujaoam Sanctum staging point looked the easiest.
The best way to get your directions is to look at ffxi-atlas.com and work out the way to the staging point you've chosen to go to.
You won't have maps for anywhere other than West Aht Urhgan at the moment; the other maps are bought with Imperial Standing, not gil.
Basically, get to the staging point, go inside the gate, talk to the npc, use the portal to get back to Aht Urhgan.
Pretty simple, apart from all the attrociously high level monsters who are just waiting for little adventurers to fall into their clutches!
Go and talk to Naja Salaheem after you've delivered the supplies. She gives you the PSC Wildcat Badge and you are now a registered mercenary.
A quick note on what being a mercenary means.
You are now eligible to do Assault quests. You can do assault quests for any staging point you have delivered supplies to.
You may now receive Sanction, which is the Aht Urhgan version of Signet.
You may now use a Mog Locker.
Mission Three
President Salaheem.
I think you have to wait until Japanese Midnight has passed to get the next mission. If you don't know when this is; the Conquest update on Sundays is at midnight Japanese time, so whatever time that is for you.
Talk to Naja Salaheem again.
She talks about it being a good day and how something good is going to happen.
Then a knight in gold armour shows up and it all goes wrong.
Enjoy the CS.
Mission Four
Knight of Gold
Salaheem tells you to keep an eye on that clot.
What you actually are supposed to do is to bring Raillefal back to Salaheem's so he can join properly.
This mission involves a lot of cutscenes wandering around the city.
First go and talk to Cacaroon at G-11.
When the option arises, give him an Imperial Bronze Piece.
After the cutscene there, go to the Temple at K-8.
After that cutscene, go to the Teahouse at K-12.
Raillefal with give you three options: The Empire, Walahra Temple, and Salaheem's Sentinels.
Don't worry, this isn't a choice thing, just select each option in turn and he tells you a bit about his discoveries about them.
Next there's an option about Raillefal's secret.
Select it.
He gets all panicky and asks you what it is.
Say he's a Prince of San d'Oria.
He panics some more.
For the next option, I said Prince Halver.
He said 'there's no princes in San d'Oria but myself and my brother Pieuje... ah... ..... you have me.'
Not too bright Prince Trion is he?
He then gives you a letter and instructs you to take it to Halver in the Chateu d'Oraguille.
Mission Five
Confessions of Royalty
Go to the Chateu and Halver is directly in front of you.
Talk to him for an amusing cutscene involving discussing the Heir to the throne in the lobby! You also learn about Trion's naughty antics!
Agree to everything they ask of you.
Mission Six
Easterly Winds
After Japanese Midnight has passed, go to the Palace in Ru'lude Gardens where an amusing CS will start.
Say yes whenever you can.
At some point you get 3 options.
The Walahada temple
Gordius
Something else
I chose Gordius.
I doubt it matters which you choose, but you may get a slightly different dialogue.
Choose yes again at the end.
Mission Seven
Westerly Winds
Travel back to Aht Urhgan Whitegate and head to the Teashop in K-12 for a cutscene with the Yagudo, master of the obvious (I'm a Yagudo).
Once the cs is over and you've received Raillefal's note and an Imperial Silver Piece, head over to Naja Salaheem for another cutscene and another Silver Piece.
Mission Eight
A Mercenary Life
Go and talk to Naja again.
She just wants you to do lots of work.
I think this is where the missions finish at present. No doubt SE will put more in at a later date.
Enjoy!
What I don't really understand is how you get more staging points. I have the Leujaoam Sanctum Staging Point. I got that as part of Mission Two.
But you had supplies for that. I don't see those supplies in my Key Items any more.
So I'm not sure how you'd get multiple staging points.
Sources:
http://mysterytour.web.infoseek.co.jp/ffxi/us/
http://www.ffxi-atlas.com/
Edits:
Added Mission 6 and 7 and 8.
The Road to Aht Urhgan
Most people will have done this already if they have the expansion. This is the Boat Pass 'Quest'.
NPC Starter:
Faursel, inside Tenshodo HQ in Lower Jeuno (Neptune's Spire).
You must have Tenshodo membership to start this quest. You may buy a membership item from the auction house (Others>Misc) use it, and then resell it.
Talk to Faursel and he says some stuff. Then talk to him again and he asks you to choose a list.
The list you choose determines the items you must bring him.
They are as follows:
The Beginner's List: all of these items: a damselfly worm, a magicked skull, a crab apron, a wild rabbit tail, a cup of dhalmel saliva, a bloody robe. That is to say, all of the sub job quest items.
The Intermediate List: all of these items: a jade cryptex, a silver engraving, a thirteen-knot quipus. I'm not sure on the engraving, but the other two are Garrison items.
The Advanced List: One of these items: one coffer key from any of the following: Davoi, Beadeaux, Castle Oztroja, the Temple of Uggalepih, the
Den of Rancor, the Quicksand Caves, or the Sea Serpent Grotto.
A job testimony, or a set of Pso'Xja chips (a carmine chip, a cyan chip, and a gray chip)
Trade your chosen items to Faursel and in a day your Boat Pass will be ready!
Mission One
Land of Sacred Serpents
Congratulations, you've arrived in Aht Urhgan Whitegate!
I'd suggest getting the maps first; Just north-east of the dock is an npc called Riyadahf. He's next to a stall.
Now you're ready!
If you go up the steps in the area you're in and head to the east, there's a room there called Salaheem's Sentinels.
Go inside and talk to the first NPC you come to.
You'll get a Cut Scene.
Mission Two
Immortal Sentries
Naja Salaheem asks you to deliver a supplies package to the immortals at the staging points.
This is where you start to really do things.
If you're high level or can go with a group of high levels, you can probably pick any staging point to go to.
I'm only whm 53, so I looked at ffxi-atlas.com and worked out that the Leujaoam Sanctum staging point looked the easiest.
The best way to get your directions is to look at ffxi-atlas.com and work out the way to the staging point you've chosen to go to.
You won't have maps for anywhere other than West Aht Urhgan at the moment; the other maps are bought with Imperial Standing, not gil.
Basically, get to the staging point, go inside the gate, talk to the npc, use the portal to get back to Aht Urhgan.
Pretty simple, apart from all the attrociously high level monsters who are just waiting for little adventurers to fall into their clutches!
Go and talk to Naja Salaheem after you've delivered the supplies. She gives you the PSC Wildcat Badge and you are now a registered mercenary.
A quick note on what being a mercenary means.
You are now eligible to do Assault quests. You can do assault quests for any staging point you have delivered supplies to.
You may now receive Sanction, which is the Aht Urhgan version of Signet.
You may now use a Mog Locker.
Mission Three
President Salaheem.
I think you have to wait until Japanese Midnight has passed to get the next mission. If you don't know when this is; the Conquest update on Sundays is at midnight Japanese time, so whatever time that is for you.
Talk to Naja Salaheem again.
She talks about it being a good day and how something good is going to happen.
Then a knight in gold armour shows up and it all goes wrong.
Enjoy the CS.
Mission Four
Knight of Gold
Salaheem tells you to keep an eye on that clot.
What you actually are supposed to do is to bring Raillefal back to Salaheem's so he can join properly.
This mission involves a lot of cutscenes wandering around the city.
First go and talk to Cacaroon at G-11.
When the option arises, give him an Imperial Bronze Piece.
After the cutscene there, go to the Temple at K-8.
After that cutscene, go to the Teahouse at K-12.
Raillefal with give you three options: The Empire, Walahra Temple, and Salaheem's Sentinels.
Don't worry, this isn't a choice thing, just select each option in turn and he tells you a bit about his discoveries about them.
Next there's an option about Raillefal's secret.
Select it.
He gets all panicky and asks you what it is.
Say he's a Prince of San d'Oria.
He panics some more.
For the next option, I said Prince Halver.
He said 'there's no princes in San d'Oria but myself and my brother Pieuje... ah... ..... you have me.'
Not too bright Prince Trion is he?
He then gives you a letter and instructs you to take it to Halver in the Chateu d'Oraguille.
Mission Five
Confessions of Royalty
Go to the Chateu and Halver is directly in front of you.
Talk to him for an amusing cutscene involving discussing the Heir to the throne in the lobby! You also learn about Trion's naughty antics!
Agree to everything they ask of you.
Mission Six
Easterly Winds
After Japanese Midnight has passed, go to the Palace in Ru'lude Gardens where an amusing CS will start.
Say yes whenever you can.
At some point you get 3 options.
The Walahada temple
Gordius
Something else
I chose Gordius.
I doubt it matters which you choose, but you may get a slightly different dialogue.
Choose yes again at the end.
Mission Seven
Westerly Winds
Travel back to Aht Urhgan Whitegate and head to the Teashop in K-12 for a cutscene with the Yagudo, master of the obvious (I'm a Yagudo).
Once the cs is over and you've received Raillefal's note and an Imperial Silver Piece, head over to Naja Salaheem for another cutscene and another Silver Piece.
Mission Eight
A Mercenary Life
Go and talk to Naja again.
She just wants you to do lots of work.
I think this is where the missions finish at present. No doubt SE will put more in at a later date.
Enjoy!
What I don't really understand is how you get more staging points. I have the Leujaoam Sanctum Staging Point. I got that as part of Mission Two.
But you had supplies for that. I don't see those supplies in my Key Items any more.
So I'm not sure how you'd get multiple staging points.
Sources:
http://mysterytour.web.infoseek.co.jp/ffxi/us/
http://www.ffxi-atlas.com/
Edits:
Added Mission 6 and 7 and 8.
CoP was grueling at points. This seems more lighthearted and fun. Maybe the missions will get more difficult later, but I find it a welcome change of pace. 
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