Follow Wesley (Agent One)
You'll gain control over William "B.J." Blazkowicz slowly. It'll start with his head, allowing you to look around while you're riding shotgun in the vehicle. You really can't mess this up, so just enjoy the dialog with Wesley (Agent One) as you pass through the checkpoint. Grab the papers when you're told, then exit the car and follow your friend.
The German soldiers aren't going to bother you, so make your way down the stairs and grab the map off the wall at the bottom. Allow Wesley to pass through the gate and present his papers, then do the same yourself. Continue following Agent One to the cable car, riding it to your objective.
Find Helga's Research Center
Exit the cable car and turn to the left. It's scary at first, but you can walk right past the Nazi's without having to worry about them attacking you. Just follow the platform to the elevator and hop on. You can interact with it to take a ride up.
Your Handgun is suppressed, so exit the elevator and immediately shoot the guard in the head. You want to do this before he exits the hallway into the office. This will prevent his pal from spotting his corpse and blowing your cover. When he's down, move up and exterminate the second guard who will be exiting the offices on your right. This should complete your objective.
Find the Document Folder
Before you go ransacking the joint, look for the Double-Barreled Shotgun hanging on the wall by the office, then search the main area for the Assault Rifle 46-T. You can also find the Dual-Wielding Handguns in a desk drawer. Each of these will be key to your survival the rest of the way through the prologue.
The radio that you need to contact Kessler is sitting on a desk in the main room, but before you go for that, spend some time in the three back rooms, grabbing up ammunition, health and armor. Make sure it's all maxed out. You can also find the Dual-Wield Assault Rifle 46-T. Once you're ready, head out and use the radio to contact Kessler.
Escape the Research Center
You'll be dealing with Nazis coming from above, as well as the same level as yourself. They're also really big fans of throwing grenades at you, so we opted to take cover in the three room office area where you found all the loot. They'll come in after you, but at least this way you can cut down their angles of attack.
Tip: It may seem tough at first, but your enemies will yell about throwing a grenade prior to actually tossing them your way. Try to shoot them before they release it, causing it to fall at their feet and kill their comrades who might be close by.
Keep working back and forth from one room to another, listening carefully for them to yell about tossing a grenade your way. You're usually safe in the middle room, so wait out the explosion, using that time to reload your Assault Rifle 46-T. Keep popping out and killing your foes, and always stay on the move. If you kill a bad guy or two from one direction, spin around and check to see if any are trying to flank you.
When the Nazis stop coming Wesley will toss you a ladder so Blazkowicz can get up to the second level. Look around for any collectibles, but eventually you'll need to follow him through a small opening. This will complete your objective, as well as the prologue.