Dead Island Side Quests Walkthrough: The Lost
You get this quest from Steven at the first bungalow in the beginning of the game.
If you did not talk to him at the beginning and don't have the quest yet, you can still talk to him while at the lifeguard tower to get it.
He will ask you to find Maggie.
Maggie is in the Lighthouse. Take the truck, and choose "On the Air" or some other quest that takes you to the lighthouse as the active quest. Follow the radar and head up the road to the lighthouse.
Enter the lighthouse, and you will find Maggie sitting on a mattress in the corner in one of the rooms. Talk to her and let he know Steven is looking for her.
Then, head back to the lifeguard station and inform Steve about Maggie's location. This will complete the sidequest.