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Get Away from the Train Station
Wait for the train to come to a complete stop before you disembark. You'll see that things have certainly changed a lot since the first game. Take a good look at the Combine guards. These are just the Civil Protection officers. Most of them are just armed with stun batons and pistols for now. It's still not a good idea to make them too angry before you get a weapon. You'll be fighting them for awhile anyway.
Walk forward and turn toward the turnstile on the left. Go through the gate. You might want to wait a minute for the other civilians to pass through it. The gate might get caught if you try to go through at the same time.
Move through the cafeteria and look for the security section. Go through the queues and walk into the big area. The Combine signal that you need to go to the left toward the train to Nova Prospekt, but the gate will slam shut before you do. Your only choice is to follow the guard down the corridor. Walk into the interrogation room and wait for the big reveal. It seems that the resistance is alive and well.
Your goal is now to find Dr. Kleiner's lab, which would be easy if you had any idea how to get there. Listen to Barney and go out the back door when the CP officer knocks on the door. Look for the ladder up to the loft. Climb it and grab a box with the “E" key. Then drag it over to the window and set it down. Jump onto it and then drop out of the window onto the crate below. The only way out is to the right through the half-open door. Go through it and then head up the stairs to reach the food distribution area.
As you are walking forward a CP will stop you at the gate and knock over a can. He demands that you pick it up and put it into the trash. You can just use the “E" key to drop it into the trashcan or you can throw the can away and run from the guard. He'll just chase you down and whack you a few times for failing a loyalty test. It doesn't really matter. Walk forward and go to the left. Feel free to listen to Administrator Breen for awhile if you want a better idea of the story. Otherwise, just turn to the left and walk toward the double doors that will lead you out of the building.
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Navigate the Streets
Step outside and head down the street to the right. You should be able to see a Combine blockade at the end of the road. Keep walking and stop when you see the Combine raid in progress. There's an alley right across from that room.
Look to the alley and jump on top of the dumpster. If you are having trouble, then you can take the minute to learn the crouch jump. If you crouch in the middle of a jump, you will pull your legs up to effectively jump a little bit higher. Climb the ladder to the catwalk and then drop down through the hole at the end onto the nice and apparently soft crates. Go forward and turn to the left to see a block of apartment buildings.