This stuff is all spoilish, so read on at your own risk.
1) Underdark - You have to complete the Asylum in Brynlaw before you can get to the Underdark. You can either go directly there or go to the Saughin city first (I'd suggest this).
2) Saughin city - Complete the asylum and escape Brynlaw via boat (do not take the portal). You'll end up in the Saughin city after a few short sequences.
3) Planar sphere - it's in the northwest corner of the slums district. You'll have to find Valygar to gain entrance, but that's a quest in itself. The gauntlets are on one of the halflings.
4) Brynlaw - This will depend on who you side with at the beginning of Chapter 3. Aran or Bodhi will arrange for transportation once you complete their tasks. The bowstring is in a heavily guarded chest on the lowest level of the gauntlet.
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