Talk to him to learn more about Alfida. He'll tell you that Alfida needs rescuing. She can be found at the teal objective marker about 1900 meters away. When you arrive, you'll find an enemy camp swarmed with enemies.

Where do I find Sigurd Valhalla?

He can be found in the room right next to the Alliance Map room. He'll be sitting on a table — speak to him and a cutscene will begin. Basically, Sigurd wants to ascend from Midgard and speak to the gods...or in other words, go to Norway, speak to his father once more, and then die.

What happens if you say you care for Randvi?

The safest choice here is to pick I care for you as a friend. But if you have your heart set on romancing AC Valhalla Randvi, all is not lost. You will be able to hook up with her later on safely, after Sigurd and Randvi break up. This way, you won't upset Sigurd and risk the ending you'll get.