After the opening cutscene, press X to jump across different ceiling platforms until you reach the ledge. There’s a Sacrificial Pyrekeeper waiting there and you’ll be thrown immediately in a battle. Use your persona’s Brave Blade to deal heavy physical damage to the enemy. After defeating it, more enemies will appear. Joker will jump up to the upper ledge. Exit through the door to continue.
There’s nothing to explore so head straight up then open the door to the left, at the end of the corridor. Go downstairs and exit through the door to the north. After a short scene, move from cover to cover and wait until the agent runs past you. Continue upstairs next to trigger another cutscene.
Spoiler:
In the next part, you’ll have the chance to select your difficulty. This will not affect the story. Next, you’ll have to input your character’s name. Once that’s done, you’ll be able to start the game normally.