Once you're outside the building start off by exploring the nearest barge. You'll find a sniper rifle with some ammunition here and it will be useful in the upcoming battles.
Keep following Elizabeth's voice until you get to a corridor at the top of the stairs. You will be able to take out most of the policemen quite comfortably from here, however some of them may try to use the sky-lines to close the distance. A police barge will soon arrive at the arena. Be careful, because it has a mounted turret. Furthermore, one of the law officers will be equipped with a Volley Gun.
Once you've cleared the area of enemy units descend to a lower platform and keep going until you get to a room on the ground floor. There's a prison cell here and you should notice Infusion #11 behind the bars.
Use the sky-line above the square to reach an upper floor. There's a room with vending machines at the top and you'll find some money and ammunition there. Open the left door to find a new trail. Attach yourself to a sky-line Elizabeth has summoned for you and follow her.
You'll end up in a dock and for the first time you'll encounter a Handyman here - one of the strongest opponents in the game. Thankfully this is only a staged scene so treat it a taste of things to come. Notice a large orange heart of this half-man, half-machine. It's his weakest point and its vulnerable to attacks even from basic firearms.