Think of immunity as the immune character cannot be hurt and has "infinite defense" to the characters it is immune to.
You rescue with Mary at Bethany and he blocks Red Dragon. He is immune to you, so you are 7/5 and he is 5/infinity. He is currently winning the battle, so it is your initiative. You can play enhancements (although, a discard or capture enhancement will not work beings he is immune) so you band in Captain of the Host. Captain negates his immunity so it is your 17/15 fight by the numbers versus his 5/6.