Mr J1M's solution is absolutely correct, but those of you who haven't played this game in a long time may have trouble remembering where the Susan's Horn mission is.
When you start level one, "Defend Cair Paravel" will pop up, and you will be standing in front of the main entrance to the castle.
Susan's Horn mission start is directly behind you on the other side of the courtyard. So if you were to walk backwards and then turn around, you would see it. There are some boulders in the way though, so you have to walk around them.
You will see two sets of steps, one each side of an archway. Go through the archway and the mission will begin.
When using the two controller method, i found it very difficult to protect player 2 at the end, and found the best way was to walk him up to the top left of the screen, and make him stand in the corner to the left of the statues. that way he can be easily defended.