Beat down the enemies, then hit Grima with the staff. Hold Circle to lift up Theoden and damage him. A bunch of other guards will appear, beat them down as well. Build a cage. Hit Grima, but this time don't lift up Theoden yet, instead keep on hitting Grima until he runs into the cage and get caught. Lift up Theoden and you're done.
Use Legolas at all times during this battle. He can shoot arrows while riding which makes the battle much easier. Keep in mind that if you are next beside an enemy and too close at him, Legolas cannot start the animation of shooting, so keep you distance. Once your horses run away, approach an enemy, hit Square to hang onto an orc and keep pressing the button prompt to take his ride.