You have escaped from Isengard with the help of Baldgar, but he did not survive. You should rejoin Théodred at his camp in the Gravenwood to decide what to do next.
'Do not weep for me... my friend... it is enough to be... free....'
Baldgar's eyes flutter closed for the last time, and he dies a free man. You decide to return to Théodred's camp in the Gravenwood and see what has become of the Grey Company during your captivity.