Instructions
Board your airship and travel to the Mi'ihen Highroad.
Enter the building immediately on your right. You will see a girl inquiring about Chocobo riding. When the store's proprietor declines her request, follow her outside and talk to her. The girl turns out to be Callie from "Final Fantasy X." After a brief conversation, you will spot a Chocobo.
Select "Of Course" when asked "Do you want to help Callie chase the Chocobo?" The Chocobo hunt will begin, and you must follow Rikku to find it.
Collect Chocobo feathers as you chase the Chocobo. Every time you walk over a Chocobo feather, your mission timer will increase.
Do not deviate from the main road. Occasionally Rikku will point off path and state "It's over there!" Ignore these suggestions and continue to follow the Chocobo on the main road, collecting feathers along the way. After a while, you will see a cutscene in which the other two girls split off to head off the Chocobo.
Chase the Chocobo into a corner. When this happens, you will see a menu presenting you with three options. You can move left, move right or stand your ground. The Chocobo will move in a random direction, so take a guess as to which direction to go. If you pick the wrong direction, simply follow the Chocobo until you have cornered it again and repeat the process until Paine says "We need to think of something else."
Run back to the entrance of the high road and speak to the man in the yellow tunic. Select the option "Please, Yes!" when he asks if you would like some help. You will now see a cutscene in which the man corners and catches the Chocobo using a large hovercraft.