Help

Are you talking about rescuing Mayor Hamm in bad guy land? If so, you must get the mission after doing the mayors other commands. If you try to get through the walls of bad guy land before mayor is pig-napped. That is your problem. Here is the walkthrough for unlocking bad guy land and rescuing mayor:
Once you buy the TNT Shack for 1000G, you'll be presented with a new mission. Mayor Hamm! Has been pignapped and now you need to save him. Go to Slinky Dog's area and in between the barn and the driving rank. You'll have to follow along several rickety bridges. You should wall jump, then ride on the rail, go in a doorway and will see the bad guy gate. It will open and you will eventually come to a zone where you can see several shacks highlighted by green columns of light if your arrow is on. These can be blown apart with TNT, which nearby shacks dispense. You can grab kegs, leap into the air and then kick them toward their desired targets. As you move through the area, you need to watch out for thieves that appear. You can take them out with Shoulder Charge attacks. Tend to the groups that appear periodically, then get back to blowing up their shacks. The last shack is on a lower level than the other four, right near the cell that holds Hamm. Drop down to it when only one shack is remaining, then knock it apart with a final powder keg. When you destroy the last of the shacks, Mayor Hamm will escape from his cell and the mission is complete.