Vincent is locked away in the Shinra Mansion's basement. The door to his room is locked, but the key is easily obtained...sort of. Unlock the safe on the top floor of Shinra Mansion and fight the Boss, Lost Number. After winning the battle, you'll find the Basement Key in the safe. Unlock the door and talk to Vincent, who's resting in the center coffin. Tell him about Sephiroth and he'll return to sleep. Wake him again and get him to tell you his name. He'll go back to sleep again, but on your way out of Shinra Mansion, he'll stop you and join the team.