The mission ask me to find Dahlia. I got to her near the church but cant do anything but grab her. Although i m not sure whether that is her but looks like. Did i do something wrong or did not do something previously??? And why some of the gates and wall can pass through one?

Which platform are you on (console/PC)?

On the xbox, you should have had to climb a pipe, move across a rooftop, use a zipline to get to the other side, climb down to the street level, talked to Dahlia through some planks attached to the scaffolding that you climbed down. Once the conversation is over she opens the gate so you can follow her - you don't grab her...

I bet he's thinking that female you pass by in that narrow corridor is Dahlia (right before the 2 cops that are talking about the curfew at the bottom of the stairs). I made that mistake the first time. I followed that lady and ended up backtracking halfway back to the beginning of the mission

Let's go find Dhalia. You just left your friend Saul who fixed up your weapon real nice. Leave that courtyard and turn right. Follow the paths down farther into the city. The woman you pass along the way is, as pointed out, not Dhalia. Keep going. Avoid people you encounter along the way by sticking to the shadows and eventually you reach the bottom where you cannot go farther. To your right is a courtyard area that one person walks arround- to your left a guard stands with his back to you at a fence. Go to your left. You will see a lighted point where smoke seems to be coming from. It is a pipe you want to climb on. The Warrior takes up from there.