Go towards the Lacey Towers' exit. Take your time because, after several moments, you will encounter, for the first time, an enemy with a shield. To deprive this kind of enemies of their shields, you first need to stun them with your cape and "trample" them by double-tapping the key/button displayed on the screen (the above screenshot). After the policeman loses his shield,, he will become an easy target but, you need to make sure that he does not pick it up again.
After you leave the skyscraper, fast-travel to the Batcave. Talk to Alfred, and go to the workshop to acquire the Concussion detonator.
[New Challenges: Combat Training]