Once you gain control of your character, approach the building and enter through the door marked "Open". Head to the back of the store, go through the door next to the injured security guard, and follow the hallway.
It will not be long before you have your first encounter with a zombie: aim for the head to take it down quickly. Then continue to the end of the hallway. You will find the Storage Room Key inside a locker. As you retrace your steps, the zombie will get back up, so take it down again.
Use the key you just found to unlock a door in this room, as you cannot return through the hallway, and make your way back into the store. Run straight ahead, turn left, and hurry toward the entrance door. You do not have enough ammunition to deal with the enemies.
Once you head outside, a cutscene will begin. When it ends, you will find yourself in the middle of the streets. As soon as you can move, turn around and run straight ahead between the cars. Keep looking up, and when you reach the traffic light, turn left into the alley.
There is only one possible route, so keep going until you reach the bus, turn right, and pass through the gate. You will unlock the Welcome to the City of the Dead Achievement/Trophy. Now enter the building and explore the Police Station.
