There are two parties you need to rescue, but there are several others you can optionally rescue. One is in Ayelid Ruin to the West of the Hollow City. That is for the King. You bring him back, he does a speech.
Valerian is in a Daedric Ruin to the East, and a bit South. I don't think there are quest markers because the game wants you to clear the map. And, you can do that basically by completing each map marker. It does change the game a little and gives you some choices about who is to help you later on.
Open up your Journal, either find the quest or find the area where you can choose to Continue the Main Quest. This should light up your map with a pinging quest marker.
Enjoy the game, life is what you really want to be worried about.
PakKat "Everything was going well, until I died"
Gary Gravestink "I am glad you died, I needed the help"