Talk with the three ballista "generals" of the nations, starting with your nation's, and do what they say.
Bastok: Invincible Shield, outside Cid's door, right after you get off elevator. Big galka in heavy armor.
Sandoria: Excellimile or something like that. North sandy gates, red samurai armor.
Windurst: Some mithra in heaven's Tower. Forget the name, but I think she's past the doors.