You were told to leave because you obviously don't have Leviathan. To get Leviathan you must beat Asura in the land of summons. Then speak to the man next to her and you will engage in combat with Leviathan.

Secondly have you completed the Giant of Babel/Bab-il/whatever? If you have then go to Mysidia and speak to anyone of your characters. You'll be prompted to switch characters.