In the words of T.I.,
"It's hard to yell when the barrel's in your mouth."
She went to Home (captured by the Al Bhed).
She met with Cid.
Cid sent her to his underground holding room to keep her safe.
Guado attacked Home, and found Yuna.
Guado took her away.
Seymour orders the destruction (ordered, if you want to be chronologically correct) of Home.
Yuna is taken to Bevelle by the Guado.
Meanwhile...
Tidus finds the other five of the party.
Tidus arrives at Home, Yuna having already been taken, Cid raises the Airship.
Cid and the gang goes to Bevelle.