After you have completed the second quest Bashar will then send you on your third quest.
Once you return to Bashar and speak to him about Volkov he will tell you he found a lead and explain it to you
He sends you to the Mayors Penthouse in Newisle. A building made of Brown clay on Ocean St.
Once you arrive at the building go to the 17th floor and kill Annabelle once finished return to Bashar for the last quest.
Building Coordinates: X:-160 Y:67 Z-81