You start in the middle of Psy Academy. You'll see a student in a Red Cape standing near you, talk to him. Just be nice to him and he'll tell you that Anya is looking for you and that she is likely to be found in her room. Go to the North East building and go into Anya's room. Exit the bar, go north and find Guy, confide in him and by being honest (telling him there is a whole army of Shadowlings) get his support. Then go back to Anya's room and ask her for help: she'll be ready to help you too.