When the chapter starts, turn around and head down the stairs then take a left. Follow this path out of the alley to reach a pair of rebel checkpoints. Go left here and try to walk past the checkpoint for a scene.
Once you're through, keep going forward until Chloe spots the red door she's been looking for. Continue along this same path and upon turning the corner, you should notice rats scurrying into a passage to your left. Go through this hole to get past the fence, and get a move on to your first combat encounter. Take both of the soldiers out quietly and push on after dealing with the second guy.
Head for the red door, only to find it locked. Now for this bit, turn the left analog stick and once the controller vibrates, hold the dial in that position until Chloe successfully picks the lock. Repeat this three times to unlock the door.
The path beyond should be pretty straightforward. Head down the stairs and duck under the rubble then just move along to the door on top of the stairs. There will be two soldiers patrolling the area here. Choke them out before heading up the stairs to the roof.
Treasure #1: Sterling Silver Cigarette Case
Once you reach the rooftop where you're supposed to meet up with Nadine, go forward and watch the city explode below then turn to your left. You should notice something shiny in the distance. Head over there to grab this collectible on one of the barrels.
Go toward the edge of the building and climb the ladder by the wall to the left, then hop down to the spot Nadine marked. You'll then get into a major fist fight after the scene. Just go through the tutorial as you beat the grunts. Nadine soon arrives to assist so the two of you can beat the grunts together.