The Enslaved Hero is a captive of the Shadow Army being forced to labor in the Burning Forest of the Fissure of Woe. While freeing this hero is not an objective per se of the quest Slaves of Menzies it is a result of that quest.
When first encountered, the hero will be stationary. After dispatching the four Overlords, the hero will begin a very slow and long march through the Fissure of Woe (practically across the Fissure). He will not aggro enemies so there is no need to worry about his well-being. After the long trek, the hero will come to a stop next to the Wailing Lord in the Forest of the Wailing Lord.