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Start by running towards the Divinity Statue and make sure not to stop until you hit the corner where there should be some Blood Goats ready to fight. After defeating them, hop up on the rooftops and return in the direction you started until you reach a roof with a single red orb on it. Now with Aerial Heart or double jump slashing, smash the Blue Device above this roof. Continue on until you reach the area where you had your first fight with some Msira. There are a few enemies beyond the doorway but they should be easy to kill. Now run to the back left corner to find the second Blue Device. After exploring around more, find the area where there is a fork in the road. Find the road with some Savage Golems and Demonochorus where there is the third Blue Device. When you're done, retrace your steps and follow the other path. Along the left wall should be a new doorway with the final Blue Device but a bunch of Pyromancers as well. Again, either double jump and slash the floating Blue Device or use Aerial heart but don’t forget the Blue Orb in the corner. Enter the door and slash the eyeball in the middle to start a fight with Phantom.
Phantom is largely the same as in Devil May Cry. It shoots fireballs from its mouth and when it ducks its head into the ground, it sprouts beams of fire which follows Dante. Also, if you get too close it will swipe with its claws and jab you with its stinger. Phantom will also attempt to body slam you, just watch for his shadow on the ground and evade. Ultimately, just aim for the face or back and make sure you dodge its attacks in time.
-I thought this guide was pretty confusing for an already confusing area. Fyrestorm's post in this forum helped me find the blue devices I was missing: http://www.neoseeker.com/forums/3500/t1130979-ime-stuck-on-mission-14/