well i dont recall exactly on the first game but im pretty sure that you had to put them in one of your kingdom's dungeon and wait a while before someone offers you payment for his freedom
so or... im notsure about this one ... you could try the ransom guy in one of the town's taverns but im pretty sure it wont work because its a lord

so you're better off putting him in a dungeon and leave him there for some time eventually someone will send you a messenger offering payment

thx for the help frend