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Outer Frost Giant Fortress
1 - ICE TROLL CAVE
Frost Giant Country
If you are chaotic, you might want to make a side trip to this cave. One of the chests in the back has the Belt of Searing, which lets you cast a truck load of fire related spells. It will make you seriously vulnerable to cold, though, so don't use it unless you are wearing the ring that gives you elemental cold immunity.
2 - FORTRESS ENTRANCE
If you decide to skip it, follow the arrow and kill anything that tries to harm you until you get to the fortress entrance.
3 - TUNNEL OF FIRE
Inner Frost Giant Fortress
There is a cave to the north that has a bunch of elementals to fight and a tunnel of fire that you can only pass through in pixie form. Be sure to have your henchmen stand their ground to keep them from injuring themselves as they try to follow you through. On the other side, you'll find an abandoned prison. Use the demon grappling hand to reach the center for a ring.
4 - WALL BREACH
Your next goal will be to enter through the hole that the demon in the cut scene made.
5 - BLOOD WAR
There's a huge battle going on between planar creatures here. One of the neat things you can do if you join in is turn yourself into an earth elemental and fling boulders and trees around.
6 - GATE GUARDIAN
Deepest Wastes of Cania
Following the arrow will lead you to the edge of a cliff. Use the grappling demon hand to get to the other side. This is the ice prison where powerful beings who are dangerous to Mephistopheles are held. You'll have to fight off several waves of devil warriors before the last guardian will appear. When you've dealt with him, follow the arrow to the drop off at the other side and use the demon hand again.
7 - JAIL BREAK
When you get to the other side, turn into the earth elemental and fling the catapult over to the ice prison. Then return to the ice prison and use the catapult to open the cell holding the Keeper of Names (marked with a "K"). If you're really feeling froggy, open some of the other cells to fight some powerful creatures for their xp. The Keeper of Names will tell you the name of the Reaper in exchange for the ring and amulet you've been using. She'll also tell you the True Names of some other people, for a hefty price. For 300,000 gp, you can learn the name of the Sleeping Man's true love. Who it turns out to be seems to be random, unless you have successfully romanced one of your NPCs. I recommend earning the money to do this at least once, because the interaction between Nathyrra and the Sleeping Man later on is pretty funny. Learning the True Names of your henchmen may be necessary later on, so it's wise to go ahead and do it. If you are evil and want to trade a henchman for hard goods, sell his or her True Name to the Quarry Boss and he'll give you a Gru'ul's Bracer, which gives you +4 strength and dexterity, %50 fire immunity and 7 AC against evil. If you want to avoid the last battle entirely, ask the Knower to tell you her own True Name. You can then force her to sell you Mephistopheles' True Name, which you can use to re-banish him. Learning the True Names of the people you meet in Cania is purely for fun, or the little xp you get from manipulating them. Once you're finished with the Keeper of Names, she sends you back to the City of Lost Souls. Tell the Reaper to send you back home using his real name and he'll do it. Make sure you've tied up any loose ends, because you won't be coming back.