Hellboy: Asylum Seeker/Episode 5

Run along the corridors and shoot the three legged creatures with the staff, after a while you should be back outside the asylum. Walk over to the other side of the grounds to a gate which was locked earlier. Open it and shoot any zombies you encounter, continue to a clearing. Press  near the fence to take the sheet music lying there, and turn around to discover a [SAVE] point in a corner.

UPDATE: MailMaster C. wrote me about this part, there was a bug in his version of the game:

"I am in the Town of Zombies, I have to find the sheet music paper to pick up the amulet. You say to press ACTION near the fence, but there is no sheet music paper."

Luckily, there seems to be a workaround:

"I eventually managed to find the sheet music near the fence. It was invisible, I had to check every millimeter of the fence, and I found it in the corner, near the wall, on the opposite side of the SAVE POINT."

E5 - Town
Continue to the next clearing to find some [HEALTH] and another zombie, this one cannot be killed with the staff. So keep hitting him with your  and he will not have any opportunity to hit back. Enter the huge door with the crosses on either side after killing the zombie.

You will now be back in the Underground Passage of Episode Two. Follow it back to the place where you found four stones to put on three pillars, there is a [HEALTH] there now. However the door there will not open, so get back to the elevator which leads up to the church. In the church  the sheet music on the organ, and press  near the door which just opened to take the amulet.

Walk to the back of the church and open the door, you will be outside again. Follow the path and open the wooden doors at the end. You will be attacked by another demonic creature which looks familiar. Press  while walking backwards to avoid being hit by the creature while still being able to shoot at it with the staff. You should be able to kill it fairly easily using the method described above.

You can now walk back to the asylum, but it is still locked, so enter the zombie town again. On one of the trees is a note written by Peter (it might have been there the first time too, I'm not sure), read it by pressing  near it and then continue until you reach the Underground Passage again. (you might want to save along the way).

Follow the passage and Hellboy will jump into a portal.