I am in some type of mist was just exploring, went into the battlefieled of the dead started fighting then went into the mist and now I cannot get out a bit lost on what do do now to get out.

Just had to go to an older save, all fixed now guess it bugged out.

Lost Lambs is from Roche's path, right? Every time I entered the mist by accident (before I was specifically told to go -you will know it when it happens) I just died immediately in the Eternal Battle, no chance to do anything else. I don't think you're supposed to be able to survive or come back at that point, so I'd guess it's a bug. I'd take it as a death and reload from your latest savegame.

Yea, ConsulCaesar is correct. Normally you cannot survive the battlefield mist without the aid of a quest related sorcerer. This means that, if you are surviving, something is not right with your game.