Lost Women is the first rescue activity of that name in the Jack the Ripper DLC: Nellie asks Evie to save a woman who was knocked out and carried off, and you find the right carriage, hijack it and lose the kidnappers.
The memory's description is about how little protection women working the dark streets of Whitechapel had in 1888, with no one else willing to stand up for them.
Talk to Nellie, then search out the kidnappers' carriages and inspect them. Take over the correct one and drive until the thugs following you are gone.
Nellie, born around 1864, became friends with Jacob in March 1888 after he saw her stand up for another woman on Dorset Street. She now sends Evie after the men who prey on the women she works with.
The kidnappers run several carriages and the captive calls for help from inside hers, so get close to each one and listen before you commit to a hijack.
Nellie begs for help because, as she puts it, to everyone else her friend is just another working woman gone missing.
Buck's Row Brothel
Buck's Row Brothel is the last Brothel Attack in the Jack the Ripper DLC: Evie frees a Whitechapel brothel where Lady O's thugs force the women to spy on clients and hand over everything they earn.
Lost in the City
Lost in the City is the second Lost Women rescue in the Jack the Ripper DLC: a kidnapping ring is supplying women to wealthy men in the City of London, and Evie hijacks the carriage carrying their latest captive.
Ludgate Hill Brothel
Ludgate Hill Brothel is the first Brothel Attack in the Jack the Ripper DLC: Evie takes back one of Lady Owers' most successful houses in the City of London from her thugs, frees the women and then beats the gang leader outside.
Shameful Abuse
Shameful Abuse is the second Walk of Shame activity in the Jack the Ripper DLC: copycat violence near London's train stations has followed the Ripper headlines, and Evie catches one abuser and marches him through a crowd to Nellie.