Go to the rocket, and fight the two soldiers. Then fight the others up the stairs. Cid will then show up and insist on being in your party. Go up the ladder and you’ll fight Rude and some soldiers….
Rude (and soldiers)
Finish off the soldiers first, and use KOTR if you have it. If not, just Haste, Barrier etc, and use summons and spells. He can Cure himself and use Bolt2. He’s pretty easy to beat and you might win an S-Mine when you’re done.
Go inside the rocket and you’ll fight another soldier. Go through the northern door with Circle and talk to the crew here. After Cid’s done being all heroic, and the rocket take off, go to the door on the right and up the ladder. Examine the Huge Materia. Pick the top option and when the first message appears, press Circle. Then, on the second message, press Square; on the third message, press X and on the fourth one, press X. Go back down the ladder, after getting the Huge Materia. Head down the ladder to the cockpit and go through the door to the south and climb down the ladder here. When you walk past the tanks, they will explode, trapping Cid. Shera will help Cid get out and into the escape pod. After a long cutscene and FMV, you’ll be back in the Highwind.
After talking a bit, go to Cosmo Canyon. Go up to Bugenhagen’s observatory. Talk to Bugenhagen and Cloud will call the others. They will talk about Aeris for a while and Cloud will ask Bugenhagen to look after the Huge Materia. Examine them all and get the Bahamut ZERO Summon from getting closer to the Huge Blue Materia. Exit Cosmo Canyon, and go to the Ancient City on the Northern Continent.