You should follow the red arrow and it’ll lead you to the exit. Try pressing X at doors that are blocking your path but you have to pass them cause that’s where the arrow is pointing.
If you’re having troubles in battle, I suggest you bring your two strongest characters in along with Rikku. You should have obtained tons of Al Bhed Potions from battles so have Rikku Use them to heal (each one cures all three members by 1000).