How to I get to the small rocky shore? I am at the part where I am to escort some ship full of British soldiers and get them to a cave. I sail forvever and then run into 3 French ships. Then the other ship is not with me. What am I doing wrong?

Which platform pc or xbox? On pc all you have to do is use the sail to option and sail to rock bay and go ashore

You must have bad relations with the French. I tried to go back to Oxbay once, and 3 French ships shot at me and I died. What you have to do is find a diplomat who can get you a good relationship with whoever. There is one in the tavern on the Island that has a Q in it (forgot the name).

Use the quick sail option on XBOX. Don't try sailing there on your own. Also Make sure that you've gone to greenFord and talked to you're contact.
P.S. No matter what you're standing with the french, the fort and ships at Oxbay will fire on you as long as the french control it.