This is the second of the four fiends. After stomping the Lich, get in your pirate ship. Sail back to the land mass with the canal, but follow the outer edge of it south and then east. After passing the town of Elfheim, the next port will be the one you want. Get on land, then go southwest until you reach a small lake. Go south around the lake to find the town, then go inside. The eastern part of this town has a bunch of old guys, talk to them all to get a canoe. Now use the canoe to enter the river northwest of the town, and find the volcano.
This is where Marilith is. Go through the dungeon until you meet Marilith. The standard boss strategy works here. Haste/temper allies, protect/invis/heal and then go to town on her. Her physical attacks hit a bit harder than the Lich but you should have no problem keeping up with her unless you are underleveled horribly. As a general rule, physical attacks are much better than magic because temper/haste can be used to make them do much, much more damage than magic spells. It's a good habit to get into because late game bosses (and post game content) will be much harder if you try to just kill them with spells, especially when your mages need to be healing/buffing too.
I used this website when I went through the game, these maps were incredibly helpful (Note : I didn't make these, props to creator). "Gurgu Volcano" is Marilith's dungeon. If you look at the world map, you can see both the volcano and the town Crescent Lake in the bottom right corner.
http://achurch.org/ff1-maps.html