Felicia can be found when you reach the city of Quartz and are doing the quests there. The battles are probably a bit rough for a new party, so I recommend waiting until you comfortably reach Quartz and not rushing there.
Inside of Quartz, on the right side of the map is the Hideout (just NE of the courthouse). It's labeled as Decrepit Building when you enter. You can enter via the front door, or if you go into the alleyway on the side you can use a rope to climb the building and jump down through the windows. It has *loads* of enemies inside.
Felicia can be found in the last room, held hostage by the boss. The room is the most SE room that there is. When you enter Ugly will inform you that he strapped Felicia with explosives and only he knows the bomb disarm code. You have two options.
1) Let him go free and he will tell you the code which you can use to disarm the bombs and rescue Felicia.
2) Kill him and then attempt to disarm the bombs. I had to use the Bomb Disarm skill twice on her, but Demolition should also work.
In any event - once you disarm the bomb the achievement should pop. Don't forget to raid the vault behind her for some big bucks!