After Shadow defeats the soldiers in the city, Black Doom is impressed and gives Shadow his next mission: To access the United Federation's mainframe.
That's why he goes to the cyberspace. The only way to get to this stage in story mode is clearing the dark mission in Westopolis.
In the cyberspace you have the choice to either:
There are no normal missions for this stage.
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You have to go farther after the Goal Ring to find the core program. Use one of the search lights around the Chaos Emerald area to ascend and land on a block above the room. There will be more platforms leading to a warp portal. Use the portal to go onwards and you'll find yourself in another room with a GUN Beetle in front of you. In this section you'll need to get rid of the beetles to open your way. Eventually you'll reach the last room with a tower in the middle of it. Charge a dash toward one of the springs on it to get to one of the blocks. Then use that to access the ascending horizontal light bars.
After getting to the platforms above them, grab one of the poles and go up. If you hesitate while going up, the beetles will shoot you, causing you to fall down. So either ignore them or shoot them while you're going up. After going up, you'll see the core program. While you're holding the pole, face the core program and shoot it until it's destroyed.
Hero mission is pretty simple. Defeat aliens in your way to increase your hero gauge and avoid using homing attack on GUN Beetles if possible. You can use Chaos Control to get to the Goal faster.
The door is to the left of the forth checkpoint and behind it is warp portal which sends you to a shortcut with items along the way.