You will go up a building before fighting the chainsaw enemy at the end of Chapter 2-1. At the top you usually have to split up and have Sheva go to the other side of the locked door down below. Use the following trick to skip this requirement. Get the grenade from the first balcony up the stairs in the building with the locked door. Go to the very first balcony of the building, and move directly across from the "Animal Health" sign. Throw the grenade at the sign, aiming slightly lower than needed. You need to bounce the grenade off the sign to have it land next to the locked door which is below it. If done correctly, this will destroy the lock. You can now simply go downstairs and exit through the now open door. Note: If you have the Gatling gun, simply push it through the door and it will shoot off the lock from the other side.