Not sure how to do the urgent quest.

Can someone help me I'm not sure how to do the urgent quest

You go to the quest counter by the gate when the Urgent Quest is going on. They are schedule or random events, and not something that happens at all times. The current Closed Beta Test Urgent Quest schedule can be found here: https://pso2.com/news/urgent-quests/cbtschedule

I've noticed the quest does not immediately start as soon as the alarms sound. Haven't bothered noting the exact time but it seems like it's somewhere around 5-10 minutes before they make another announcement calling all operatives to the quest counter, at which point the first option on the menu will say "Urgent Quest" and the text will also be yellow.

It also seems like if you miss the "Fals Arms" portion of the Dark Fals UQ, you won't be able to join the attack on the main body. At least, I haven't been able to.

Once you've accepted the UQ from the counter and chosen whether to run it in the current block or search other blocks, you'll be sent to your ship. You'll want to jump right into the pool right away so the other players on the waiting platform know there's someone coming before doing any "preparations" like feeding your Mag, applying boosts, etc. But be sure to check the chatlog thing on the right side of the screen to make sure it doesn't say the teleporter has already been activated, because sometimes you'l be sent into an UQ that's already active, in which case you're left with little choice but to rush to the teleporter and interact to jump into the fray in progress. I've had a few UQs fail because the other players in the block started it right away and didn't have enough firepower to get it done. If the teleporter is lit up with glowing circles when you get there and there aren't any players standing around, the quest is likely already in progress. If there's no one there or they're all standing around and it's not lit up, take that time to do your preparations and then gather with the other players on the orange platform. Once a player activates the teleporter there's a 30 second timer before the quest is launched. The timer can be cancelled but only by the player who activated it in the first place.

Unfortunately some players can be jerks and just keep activating and cancelling the timer for several minutes. But that's only happened to me once so far.

Urgent Quest alerts start 15 minutes before the hour.