You start out the game by infiltrating the Le Police Internationale headquarters in Paris to recover a file on your family, the Coopers. You'll talk to your friends Bentley and Murray, and then you'll get control of Sly. You can start breaking things on the roof and collecting coins, but eventually you'll need to go up the wooden ramp with the coins on it by where you start. At the top, you'll learn about the blue auras you see sparkling around certain places. Whenever you see them, hold , and Sly will interact with the environment in a sneaky manner. Here you'll edge around the water tower and from the other side you can jump across the antennas and break open the vent on the side of the roof.
Jump into the vent and run through to the end where you'll come to a shaft filled with laser beams. In this game, hitting a yellow beam activates the security defenses and you'll need to break the red klaxon sounding the alarm to shut them off. After sounding the alarm, all the yellow lasers or spotlights turn red, and you'll be burned to a crisp if they touch you. Whether you set the alarm off or not, breaking the red klaxon shuts off all security for that section. In this shaft, either jump from side to side to avoid the beams by landing on the metal shelves, or just jump straight down and take out the klaxon at the bottom.
Destroying the security siren opens up the door into the police station hallway, and you'll need to find the red door inside. Take the first two lefts to get to the door, which you'll find out is too strong to break down. Jump out the window and use a thief move to sneak along the ledge to an open window in Carmelita Fox's office. Inside, go over to the safe and enter the combination turning the wheels up and down with and and changing wheels with and . Once you have the file, jump out the window by the safe and face Carmelita Fox.
Carmelita fires a paralyzing shot, but rarely fires to hit you. If you do end up being shot, you'll have to start all the way over from the beginning up on the roof. Run down the scaffolding then make your way across the car strewn parking lot by jumping over the police barriers. Carmelita only shoots the cars, so as long as you stay off of them you can make it across and jump into the back of the van to make your getaway.
Once you've escaped you'll get the backstory on Sly and the gang, as well as an explanation of what's in the Thievius Raccoonus. After the introductory session at the police headquarters, you'll be in your hideout, which is the back of the van. This will be your base of operations throughout the game, and from here you can select your next missions or watch any videos you've unlocked.