This quest technically starts when you talk to Lucy West in Megaton. She'll ask you to run a letter through the wasteland to her brother in Arefu. This is a good way to start it, since it will mark the town on your map. You can also get the quest by walking to the top of the highway ramp into town and triggering your special welcome.

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Regardless, you'll need to travel to the northwest of Megaton to find Arefu. It's a little settlement built up on the remains of a highway. Climb up the ramp until you're forced to stop to avoid a grenade. It seems that they're on high alert. Talk to Evan King to learn about their situation. It seems like some gang called The Family is harassing them. We'll need to help Evan out by taking a quick census.
Visit each of the 3 houses to check in with the residents. You obviously don't need to go into Evan's house, although it should have the repair bobblehead inside. You might want to pick the lock now. The first two houses by Evan are alright. The problem is the third house in back. Naturally it is Lucy's relatives who are pushing up mutated daises. Examine the bodies to make it official.
What happens afterward changes depending on your skills. You can make special note of various things on the bodies if you have the right skill. Most of it is just a hint at what you'll be facing. For example, you can notice that they've been drained of all their blood. The only relevant one is if you have Medicine higher than 70. If so, then you'll notice trainyard residue around their bodies. You can then ask Evan if there's a nearby trainyard, which will led you to Meresti Trainyard.
You can always just go to Meresti Station and head inside to their hideout, regardless of whether your character figures it out or not. It's not necessarily any faster to find the station blind than it is to just follow the clues though. Plus, we'll find another side quest if we do it the “right” way.