Go left from the starting point, into the room where a gramophone is playing. Interact with it, which will result in you taking the record with you. Return to the room with the clock, and use the door on the opposite side, in order to enter the dressing-room of the future victim.
Now head to the closet by using the doorway marked in the picture.
Interact with the gramophone, in order to set the record on it, the one you have previously collected. Then go back to the starting room and watch the killer through a keyhole. After playing one of the melodies, the killer will turn his attention to the noise in the nearby room. Wait until he enters the dressing-room, and then head to the hall behind the scene.
There is a key  lying on the piano, which you should definitely pick up. Afterwards, follow the killer into the dressing-room  as quickly as you can.
You have to perform all actions before he leaves the closet. Otherwise, you will not be able to save the woman. If the killer is still in the closet, than it is enough, that you approach the door and interact with it, using the key you picked up earlier.