As soon as the mission begins, go to the marker on your screen. When you get there, take a picture of the Prison Tower, then it's on your way to the second objective marker. Once you get there, take a picture of the Arsenal, then go to the third spot. This one has you taking a picture of the Back Wall.
You're now in control of Sly and have access to a new costume. You can't run or jump in this costume, but you can push Square to throw the ball in front of you, easily destroying anything in your way. Throw the ball at the wall, then drop to the ground below. Throw the ball at the door now to let Kid Cooper out.
This next part involves you throwing the ball at the blocks to push them into holes. Hit the first one, then don't worry about the door on your left, which only leads to coins and spiders. Push the next one, then go through the opening on your left and push it again. To get over the gap, jump onto the little ledge by the metal door.
To get past the guard, you'll need to crawl through the space on the right side. Once you're out, some spiders will come to attack you, so use your regular cane to take them out. Push the block twice to bridge the gap so Kid can follow. This will open the metal gate from before, so go inside.
You now need to have Kid carry some TNT to blow up the gate, so when you gain control, throw the ball at the glowing spot to send Kid across the canyon. Use the rope to cross, too, into the new area. Here, you need to throw the ball at the three carts to send them to the other side, then use them as platforms to get to the switch. Hitting the switch will open the door.
In this area, you need to hit the melting pot to move Kid around, while avoiding the fire. Hit it the first time, then jump across the platforms and do it a second and third time to reach the end. The next area is full of insta-death lasers, but Bentley tells you about a new ability with your costume. Press R2 to get on top of the ball and roll your way past the spotlights and TNT barrels, pressing a switch at the end to turn off the lasers.
After doing that, you'll be in a large area with a puzzle in the middle. You need to hit the bluish-green block into the gate, but before you start on that, head left from the entrance and find a Secret Sly Mask behind some barrels. Back to the task on hand, hit the left wooden block towards the gate, then hit the right wooden one towards the gate and then the first wooden one. Hit both towards the other block, then the blue-green one to the wooden ones, ultimately pushing it through the opening.
This is the last room here, and you need to combine your ball-rolling skills and pushing blocks to reach the switch to disable the lasers. Remember to take your time and don't roll too fast, as it's possible to fall off the paths and have to start over again. When you get to the open area, don't worry about the block surrounded by lasers and hit the other one to clear a path to the switch. With the lasers down, you can push the other block to allow Kid to reach the wall with the TNT. Another job down.