Now where do I go after I jump the dolphin and climb the latter,I see a rope.How do I climb it?

You don't need to climb the rope. MoA. Just climb the ladder to the top and there'll be a short cutscene and you'll be in Junon's military base. Run over to the Highwind, press action to work the elevator control panel and then run towards the only doorway to get inside the base.

Thanks,but I beat you to it by gamefaqs,thanks for helping.

Okey doke. Well, since that's cleared up, I'll close this thread.