You'll find this one while playing the story. It's a required part of the This Old Cove mission (even though it's technically the key you pulled from Du Casse in the previous mission).
Once you've learned about the Templar Keys, you can begin collecting the other four. We'll start by returning to Havana. Head to the side mission marked in the picture above to meet Rhona Dinsmore, who needs help fending off some guards.
After the battle, speak to Rhona again for another mission. This time, she needs you to catch a pickpocket. Head to the market and use Eagle Vision to locate the man in question. Once you've located him, catch and loot him.
Speak to Rhona yet again. This time, she wants you to ignite some powder stores around the city. There are three to ignite, and each one is in a restricted area. Be swift and smart, and use rooftop entrances when possible. Once all three are ignited, you can return to Rhona for her final mission.
For her final mission, Rhona gives you the chance to kill Flint and take his key. Follow Rhona to the docks, and she'll start distracting his men. Eventually, he'll run, and you can chase him down for the kill. Alternatively, you can charge in bravely (foolishly?) and take the fight right to Flint. In either case, you'll pick the key from his corpse.
Return to Nassau for the second key. You'll meet up with another Assassin, Vance Travers, at the spot indicated above. For his first mission, simply use Eagle Vision to find your targets in the marketplace. Keep a smart distance when eavesdropping on them, and you'll reach a restricted area. Climb to a rooftop nearby and use Eagle Vision to locate your next target - poucing him should be a piece of cake.
And now, you're working for that same target. Funny how that happens, eh? Head to the marker on the map, and follow Upton around. When it becomes a tailing mission, keep a safe distance and watch for thieves. Three will appear while tailing the brothers, but if you move to kill them as soon as they appear, you won't have any issues. Continue to tail Vance and eavesdrop when he meets up with Jing, then run to kill one last thief to end the mission without too much trouble.
This mission is just one big escort. Head to the marker to meet a very drunk Upton, then take out his attackers in the big bar fight. Escort him a bit more, and take out the guards that harass him. After that little squabble, the mission will end.
Head to the marker for the final mission before the key. Upton needs you to kill both Vance and Jing. Head for the swamps to the west and make your way to the small camp in the back. Kill Vance, and Jing will run away. Chase her down for the kill, or use your pistol to pick her off as soon as she bolts. Whichever you choose, you'll find the key on her body.
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