Henriette in chains, in a cage or in a cell.
In episodes 1-10 you will find Henriette chained or caged somewhere.
You need to kill The Devil Incarnate, or some other head enemy, to acquire the iron key in order to release her.
Henriette walking in a trance.
Episode 11+. The Devil Incarnate has put her in a trance. She is dangerous to get close to while in the trance (except on the 'easy' difficulty setting).
Once you have killed the Devil Incarnate you can save her by walking into her.