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After blowing up the trains in de_train, those terrorists took hostages from the city and hid in the same town. You have to make your way through the millitary base, up to the market, into the building where the terrorist have the hostages and rescue them. The mission isn't easy and there are many ways to reach and save the hostages, you pick the best strategy for your team.
You can see a train in the distance close to the hostage building if you take the U turn towards the balcony on the map, that is the train the terrorists used to reach this area of the city.