Once you have taken out all your current targets on your 'list' - except for the last one - initiate the next mission. You will have to follow the last of your targets. Follow him out of the city, picking up courtesans or thieves to distract the guards blocking the main gate. Continue to follow your target untill you see guards lining the road as well as a group of thieves. At this point, veer off the road to the left and aproach the restriced area (the theatre structure) and stand near the line of bushes that line the edge of a natural rock formation. Without moving too far from your cover in the bushes, make sure you can see the stairs so that when your target goes down them, you can see him again when he gets to the bottom. (you have 25 seconds to regain line of sight so dont panic! it took him 20 seconds to appear back in view for me!) I don't think you can be spotted near the bushes, I wasn't ever spotted at this point, so dont worry if you feel a bit out in the open. When your target starts to go towards the center of the restricted area, head left from your stair-way view point and drop down in to the walled/shadowed area, move forward enough so that the cut-scene starts. Once the cut-scene is over, kill the guards and finish off your target. The achievement will pop!
It may take one or two goes to do this as you will have to match my description to the actual mission. There is a checkpoint outside the city, so don't worry if you dont do it first time.