Lost in the Mist is a combination of Counterspell and Regress. The cost of Lost in the Mist may not exactly equal what those two spells cost, the effects and targeting requirements are a perfect combination. In order to play Lost in the Mist you must choose a spell to target and a permanent in play. You cannot play Lost in the Mist if there is only one of those targets available.
As with other spells with multiple targets, Lost in the Mist will resolve as long as one of those targets is still legal when it attempts to resolve. If both of these targets are not legal then the spell will become countered on resolution.