The exit is at the highest point of the level. At the end, you will meet Rudomonto (called Lamont in the fan translation) and Kate, who will sic Jemma on you. Even though this is a cutscene, the level is not over yet. If Jemma kills you, you will start at the beginning of the level.
Jemma
Jemma is tricky at first, and you will want a lot of health pickups and ammo. Dynamite is useless (he dodges it easily) and it's also pretty useless trying to punch or kick him around (it doesn't hurt him enough), though by all means punch/kick if he leaps at you, since you don't have any better defense against it. Otherwise, shoot him. Chances are he will engulf himself in a blue aura, which makes him immune to bullets. Right after he comes out of that aura, though, he will usually be vulnerable to bullets, so you want to get used to the timing and shoot him just when the aura ends. If you have a lot of ammo -- perhaps 5 or more ammo clips -- you can get away with firing a fairly steady stream of bullets. Just make sure at least some of them are hitting him.
It's likely enough that you will run low on health during the fight. If you're low on health items, you will want to be conservative and only heal when you're down to two health bars or so, but you will have to act fast or you will die. Since you will undoubtedly be using your gun, a single press of the L button will switch to your health item. Thus, if you need health during the fight, pressing L, X, R will restore your health and switch back to your gun.