Head on to your left. You'll probably notice that there are a lot of propane canisters here. Make sure that you're not standing next to one of these objects, because an explosion would probably kill you. Eliminate a cop and wait for a squad car to destroy a nearby wall (screen). Obviously you will have to start shooting at your new enemies. Don't expose yourself too much to enemy fire.
New objective: Escape Through Wall
Police officers will keep appearing to your left. Make sure that you're not standing too close to any of the propane tanks. Once you've received new orders, follow your teammates towards a destroyed section of the wall.
New objective: Cross The Street
Keep running forward, however you will have to turn left in just a few seconds. I'd strongly recommend avoiding any unnecessary gunfights, especially since your new colleagues are shooting at enemy units. You will have to cross one of the main streets of this district (screen). It would be a good idea to press a SPACE key here, so Kane will start moving even faster.
New objective: Climb The Wall
It's very important to pick up a SMG rifle left by one of your dead colleagues, because the pistol isn't powerful enough to take down your enemies. You will probably encounter a large brick wall. Thankfully, the solution to this problem is very simple. You must climb on top of the green container. After that, jump over the wall.
New objective: Get Into The Warehouse
Just as before, you must follow your allies, because they'll know where to go. You shouldn't have any difficulties tailing them. The warehouse can be found in front of the previously used brick wall. Obviously you will have to approach the main entrance to this building (screen).
New objective: Get To The Top Floor
Once you're inside the building, you will have to turn left. This will allow you to approach a large staircase. Use the stairs to get to the top floor of the warehouse building. Once you're there, you may consider watching an interesting explosion, because one of your allies will use a grenade against your foes. If you don't want to waste any of your precious time here, proceed to a nearby room right away.