Sir Lyndon wants you to investigate the Ferrucio Statue, as it seems there is a plot to blow it up! You need to go and hunt around for quest items (which aren't visible on the game screen) and fight the bandits and conspirators which appear. Finding these items can be quite irritating after a while, so there are three images below which may help you. The Expert Item set listed as a reward is one of each kind of weapon at a slightly higher level than the Queen's weapons you received at the beginning of the game.