After you complete the prologue and arrive in the desert, open your map and just to the North-West slightly, you can make out a settlement. This is Yamu. As you approach Yamu Bayek speaks of an old friend who lives there which triggers the first side quest (Ambush in the Temple) of three which ends with the Lady of Slaughter.
Just complete each objective (No need to spoil for this one) until you unlock 'Ulterior Votive'. Complete that and you get given 'The Lady of Slaughter'.
Win the fight and claim your reward, an awesome costume and a nice 20G
FINAL NOTE: You should be at least level 6, maybe 7 before you attempt this.
Let's keep cheevin' together!