Yo ho, me maties
The pirate quest has you meet up with a black market informant in the Whispering Woods. After saving her from a group of monsters, she gives you the intel free of charge as a thank you. Head back to Kaeya to decipher the clue. Once you do, it is deduced that the clue refers to the windmills in town. Leave the HQ and head towards the windmill marked on the map. When climbing the windmill, don’t expend too much energy trying to jump up the whole way. It is a little slower, but you will get farther using less stamina by just climbing normally. Also, fall damage is a thing in this game, so if you fall from a high enough height you will pay the price. I found this out the hard way myself…
The clue you find there will then lead you to a waterfall in Springvale. This area starts blacked out on your map, so make sure to activate the Statue of the Seven nearby to open up this section of the map. At the top of the cliff where the waterfall is located there are several mechanisms with a Cryo symbol on them. Hit these pillars with an ice attack, as Kaeya should be in your party at this point by default, and you will access another chest with the third and final clue. This clue will bring you to a cave on the beach in Falcon Cove.
Your party should at least be at level 10 by this point, but if not then level them up at the character detail screen before heading into the cave. Once there you will encounter some puzzles with fire traps that can be solved by using Kaeya’s ice attack to temporarily disable them. Make your way to the first challenge room to take out some fire slimes in the time given. Wide range attacks from characters like Kaeya, Lisa, and the Traveler will help clear them out quickly.