Doing the third vertical warp strand is the same as the prior two, in which you again start the weave one wrap over from the prior one, then wrap the loose end four times before nailing it in place.

...then repeat the wrap on the bottom of the frame.  Notice that I always do four wraps, and tack the loose end down in the same spot.  The fact that the nail has split the rattan is of no consequence, since you will be wrapping over it with the next strand, and that will be more than enough to secure it in position.  The nail is really just a means of holding things together until you permanently lock them in place by wrapping over them later. Some weavers use no nails at all, and either tuck the loose end under the prior wraps, or hold it in place by hand while wrapping over it.

This image shows three vertical warp strands completed. 

As you continue, you are doing the same thing over and over with each vertical strand.