Okay, I think I got it. Leave the room you were in, go north till you face the upper-most wall with the ladder that leads to a closed hatch, from there go right till you see the sign saying "Battle Grounds", continue right. The first door there is closed but can be opened with your keys, enter the room, pull the blue lever, leave the room, go into the next room to the right, pull lever again, use the bridge at the first door to go further right till you find another door on the north side of the room. Enter it, go up the ladders and then you are in the Arena, there you have to enter through the combatants waiting room to continue the events. Do so, and you'll end up at a boat to take you to where the queen and princess are.