There are four entrances, at various places along the Thundermist Road in Thundering Steppes. The entrances are called terraporters and are guarded by level 20 Splitpaw gnolls.
To enter this zone, you must be hit by a Tesch Mal abductor (level 20). An abductor patrols around each of the terraporters in Thundering Steppes. If they are gray to you, then you can attack them to force the abduction. They only have to hit you once to send you into the instance.
Note: The Captive Audience instance does not contribute toward your Splitpaw access quest. If you own the Splitpaw adventure pack and want to advance that quest line, then you do not want to be captured by the abductor. Instead, you should click on the terraporter yourself, to enter the instance called Sundered Splitpaw: Delving into the Darkness.
The exit is in the northwest corner of the zone. The exit drops you at Village of Thundermist in Thundering Steppes.
To reach the exit, you must move the crates and other moveable objects to build yourself a staircase over the barrier. You will have to do this to get out of the jail cell at the beginning, and again later in the zone.
If you camp within the zone, you will be in Thundering Steppes the next time you log in.