Annet will land on the blimp, which has already taken off. You need to fight your way into the blimp, which is protected by several turrets. The turrets fire shells at you that do a reasonable amount of damage, so try using the arrow spell as much as possible throughout this part of the level.

Keep going right, using the arrow spell to take out all of the turrets you come across. There are several of them to take out, once you've destroyed the last one, you'll see a door. Move in front of it and you'll automatically head to the next part of the level.

You'll then arrive in the boss room, dropping down to the bottom. After a few seconds a never ending series of descending platforms will appear, you need to use these to move up, and then start attacking the brown exposed strip of the blimp's engine. The engine will send out several electric bolts at you, which are very fast and hard to avoid, but they don't do that much damage. If you are a good shot you can try and use the explosion spell to do large amounts of damage to the boss in a single shot, otherwise try using the arrow spell whilst throwing out boomerangs as much as you can. The engine will explode after you've done enough damage. As Annet escapes, Henry confronts her personally:

NOTES

The cutscene marks the last time Henry appears in the game. It isn't clear what happens to him, Zigfried does mention to Annet that Henry is on the blimp, and since Annet presumably destroys the blimp in this level, perhaps he died on it...but then that wouldn't explain why he appears before Annet at the end. Given that he seems to appear in some kind of swirling vortex when he speaks to her, perhaps he has some special powers himself that he used to escape. I'd like to think that he was meant to be a boss you were supposed to fight before Restiana. My understanding is that the Japanese version script has him say that both he and Restiana will be waiting at the Empire State Building, this line was changed for the American version to only mention Restiana. Anyway, this is his last appearance in this game, and he doesn't appear or even get a mention in the sequel.

The turrets that are seen in the first part of the level are capable of friendly fire -you can make them destroy each other without much effort, and you'll gain EXP for it.

There is an odd glitch with the cutscene which will happen if you press the start button to skip it -it causes a problem with the ending sequence, see this page for more details. This only seems to happen in the American version of the game.