Access to the Sionis Steel Mill is very limited. Right at the beginning of the game it's inaccessible and you can explore as part of the Access the Sionis Steel Mill through the main chimney main mission. the chimney mentioned in the name of the mission can unfortunately be used only once, as it will be blocked further into the game. In such situation, you will have to choose between two other Steel Mill entrances.
The first option is using the southern entrance (screen above), leading into the Cooling Tunnel D. Unfortunately, it's always guarded by armed inmates. Additionally in order to be able to safely navigate through the Steel Mill, you will need to have the Freeze Blast which you receive after completing Defeat Mister Freeze.
The second entrance can be found on the destroyed roof (screen above) and leads into Joker's Office, adjoining the Loading Bay. Do note however, that this entrance is unlocked only after completing the Defeat Joker main mission (second Steel Mill visit, as part of the main story).
Batman Trophies - 24
Riddles - 7
Harley Heads - 12 (4 challenges)
Catwoman Trophies - 5