This mission is found in Devil's Cay, a small island that appears on the map to the southwest. Take the specified boat to the check point, avoiding the mines in the water. Also, take care once you start to approach the desired location, because there will be a number of pirates hanging around. Now somebody has stolen the boat, so get after it in one of your own, being careful not to follow too closely or you'll be filled with lead. Keep your distance and don't destroy the boat. After a while, a couple of attack boats will turn up. Take out the gunners first, as they can cause a lot of damage and then keep following the boat to a small cove.
Wipe out the gang on the beach while staying on your boat. After you've taken them out, go ashore and pick up the bazooka and refill on ammo, collect the fishing boat, and return to Devil's Cay. Avoid the helicopter that has now appeared by swaying to and fro with the boat. You should be able to dodge most of the bullets. Now head to that boat repair station to the right, and shoot out the cans and gas stations on it before getting on. Now man one of the mounted guns and take out the chopper. Keep heading towards Devil's Cay. Go around the other side of the island, because there is a massive frigate covering the port. Get out on the other side of the island and get to a vantage point, and fire a couple bazooka shots into the side of the frigate and you've made short work of it. Now just get the boat to the dock.