Missing Guard - NWN Side Quest (Chapter 1)
Beggar's Nest: Missing Guard is a side quest that takes place in the Beggar's Nest and begins by speaking with Gate Captain Ergus. You can find Ergus in the Beggar's Nest map right next to the zone line that leads back to the City Core, a screenshot of where he's found is shown above.
For this quest Ergus will task you with locating a missing guard named Walters who is found in the Warehouse building in the northern portion of this map. You'll have to go into the basement of the Warehouse which is where you'll find Walters locked up in a jail cell.
Guarding Walters will be an enemy named Drawl who can be a pretty tough fight depending on your current build and difficulty settings. Drawl is also part of the Sword Coast Boys side quest but as far as I am aware you only need to complete the main story in Beggar's Nest to finish that quest.
Walters locked up in the basement
When you free Walters you'll be given the choice to escort him back to Ergus or have him run back alone. Personally I have never had any issues with letting Walters run back on his own even when I left enemies alive along the way. So that's what I would recommend, let him find his own route back home then all you'll have to do is visit Ergus to complete the quest.