After the lengthy introductory cutscene, you'll be in control of Sly. Move forward, breaking the objects in your way for coins, which can be used later on to buy new moves. Keep jumping over the obstacles until you get to an open area with a helicopter's spotlight. You should see blue sparkles on top of some objects, which are points you can use by pressing Circle near them. Use these to get higher and onto the tightrope.
When you get to the end of the second rope, drop down and use the next object and pipe to reach the next floor. Jump onto the next point, then onto the windowsill, holding onto Circle while you move around to the other side. There's another spotlight here, so be quick in utilizing the next objects to get onto the roof. When you get onto the sign, a short cutscene will play and then you'll be in the next area with two spotlights.
For this next part, you'll need to jump on the vent, then quickly onto the pipe on the side of the large container and jumping off onto the top. Jumping and grabbing the rope will play out another cutscene with you having to shimmy along the edge of the building. Feel free to creep up behind the guard nearby and pickpocket him with Circle when you're close.
Move along the edge of the building, avoiding the spotlight that gets in your way, then climb up to the roof using the pipes by the next balcony. Don't climb up to the next part of the roof yet, instead going on the illuminated part of the building and behind it to find a Secret Sly Mask and a spotlight. Jump up onto the next section, sneaking past the spotlight, then pickpocketing the key from the guard and doing a Stealth Slam on him. Unlock the skylight and go inside.
BENTLEY THE GENIUS
You're now in control of Bentley in the sewers. He plays a little different, as he has some gadgets that Sly doesn't. Go forward and when you get to the blockage, plant a bomb with the Triangle button to blow it up. That little yellow-orangish meter under his health is his hover meter, so make sure you let it refill completely before using it again.
Jump over the gaps and take the left path to find some more wood blocking your way. Plant another bomb, then jump and hover to make it past the next part. You'll come to a spot with some gears impeding your path, so hold L1 and then throw a bomb to blow it up. Jump and hover over the gaps, but don't jump the gaps where the trains are. Instead, go left when you enter to find the second Secret Sly Mask in the alcove.
Now, jump over the gaps and hover to either platform to continue. Go forward until you come to a marked spot on the ground, so use a bomb to blow it open and drop down inside. After a close encounter with some security lasers, hover over the next set and go to the end to find two enemies. Throw a bomb next to them to defeat them, then it's a clear path to the security system controls.
You're now in the hacking mini-game, which follows a twin-stick shooter's control input. The left analog moves your thing, while the right analog fires in the direction you're facing. This is a fairly straightforward area, so get to the second section and fire at the firewall to destroy it. In the third section, destroy the firewall on the left, then grab the key and put it in the marker to destroy the laser.
In the next section, destroy the firewall to gain access to the Panzer code. As soon as you do, enemies will spawn, so shoot to destroy them. You need the Panzer code's power to blast your way through the crystals and get to the next area. Here, you'll need to blast away all crystals and firewalls with the Panzer, then switch to the normal code, grab the key and unlock the teleporter. Once you do, the hack will be complete.
THE MURRAY STRIKES AGAIN
Murray's the brawn, meaning it's time to fight. Square is his basic punch, while you can jump and press Triangle in the air to do a belly flop. If you hold Square on the ground and release it, Murray will do a spin attack. Your objective here is to fight your way past the enemies and get to the warehouse. One of the easiest ways to get past this part without losing too much health is the belly flop maneuver.
If you need health, sometimes enemies will drop them, but you may also destroy objects in the environment to find some as well. Once you get to the warehouse, there will be a small QTE where you need to mash the Circle button. When that's over, press Circle near a breakable object to stomp the ground and pick it up. Throw these at the two junction boxes to destroy them. This will destroy the lasers where Sly is at.
As Sly, press Circle to steal the sword, only to be caught by Carmelita. When you're on the van, you can move it from side to side, but there's nothing really special about this part that needs your attention. Once you get the signal, press the Circle button to floor it and finish this mission.