Find an Underground Exit
After you emerge from the alley that you started in, you'll see an intersection on your right. As you approach that intersection, you'll notice a bright sign across the street and on the left. If you run to that area you'll find the stairwell that leads to the underground exit you're looking for.
Enter the Underground Metro Station
This objective is really just an extension of the last, and it can be easily completed by running down the stairs toward the metro station.
Reach the Metro Network Exit
When you arrive in the metro station, you may notice a ladder that is on the other side of the tracks. Make your way over to this ladder and climb up, following the largely linear path as it takes you up some stairs and has you swing across some pipes.
After finding yourself briefly interrupted by a speeding train, look across the tracks and to your right. You'll see an open doorway that leads to a small room. Once you enter, look up and to your left, then climb up the fence, exit and turn to your right.
Continue making your way forward until you find yourself on some rope that hangs over the tracks. Leap to it, then turn to your left and make your way along the linear path. When another train interrupts you, turn and flee, using your free run and sliding abilities to navigate through the obstacle course.
Escape Through the Portal
You should now see the portal that you need to escape through, as well as some on-screen instructions to stay behind cover to avoid being hit by flying debris.
When you're ready, hop down from your perch and start working your way forward, using the game's cover system to avoid the debris that will frequently fly your way. It's really quite simple to navigate through this, just time your movements for when the wind storm lets up.
Once you reach the base of the Lady Liberty statue, begin your ascent. It's nothing you haven't done before. Just use your parkour skills to climb up to the top, then jump through the portal to complete the game's first server bridge.