You will go up a building before facing the chainsaw enemy at the end of Chapter 2-1. At the top you usually have to split up and Sheva has to go to the other side of the locked door down below. To skip this requirement, grab 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, allowing you to simply go downstairs and exit through the now open door. Note: If you have the Gatling gun, just push it through the door and it will shoot off the lock from the other side.