From the start, Zelda will automatically move towards the lab. Your role is to clear the path and protect her. As Link, lead the charge, defeating Bokoblins and Moblins. When Yiga Footsoldiers appear, switch to Zelda. Her Remote Bombs (L + Y) are excellent for clearing groups, and her Stasis (L + A) can freeze individual, tougher enemies, allowing you to land free hits.
Pay close attention to the mini-map; if Zelda stops moving, it means she's engaged in combat. Quickly move to her location and assist. Don't let her health drop too low. If you see a large group of enemies converging on her, use a special attack with either character to disperse them. The path is linear, but enemy ambushes are frequent, so stay vigilant.