The protagonist of the mission is Claude. He and Catalina were going to go to Liberty (If you got through the game to San Fiero, then you understand what I mean). So in the morning Catalina was gone. Claude thought that the kidnapper CJ and went to his garage in San Fierro. He was absent. But he's still not the kidnapper. Catalina was taken to Liberty. Claude follows her (to that little piece of Liberty in San Andreas).