Parade

After Caraway has told you the plan, he will tell you to go explore. Explore the town and when you are ready go back to his house (catch the bus), then talk to him and follow him down to the gateway. When you get to the gateway, Caraway will be standing in the corner of the screen. Talk to him. Now follow him as he walks through the people to the presidential palace. When you get outside the gates, he will talk to you (make sure you walk behind him slowly).
After seeing the parade, and talking Quistis' party through the sewers (if you get lost, click here). When you are in control of Squall and Irvine again and Irvine tells you to run, run after Irvine through the crowds and through the gates. Now climb up the crates in the truck like you did before with Rinoa, go over the rooftops, always heading NorthEast. You will see the president lying on the ground but just ignore him and go into the building. Don't go into the hatch just yet, go down the hallway to where Rinoa is being attacked by the Iguions. Save her then go to the hatch.

I'm not really sure about the order of Quistis' party being stuck in the sewers, it may be after saving Rinoa, but in any case, this is just a brief outline of what you have to do.