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Avoiding the Raid
Head down the alleyway to see the Combine starting a raid on the building at the end. That door is blocked, but the one to the left isn't. Go through the open door into the little lobby. Walk up the stairs and watch three CP's storm an apartment. Walk past them to the stairs. Go up another level to see a civilian calling you into his apartment. They are apparently trying to setup a safehouse, but...well you see how well that worked out. Combine burst through the door and start killing the civilians. Start running through the apartment. You can't let them catch you. Just go through the apartment and then turn to the left to get back out into the hallway.
Go up the stairs and keep running. There are two combine just below you. Get to the top level and another civilian will close the door behind you. Go up the stairs to the attic and look for the big hole in the wall. It should be right in front of you. Walk out to the rooftop walk toward the end. Two Combine officers will start taking potshots at you with pistols, but they aren't any real threat.
You are looking for the two boards acting as a makeshift bridge to the next roof. They are at the back left section of the red roof. Walk across the boards carefully and then keep moving along the edge of the building. Don't go too fast, or you might fall off the edge. Look to your right to spot a few open windows. Jump through one of them to get into another attic.
Walk down the stairs and open the door. It looks like you're finally trapped. Let the Combine get a few hits in to trigger the cavalry. Alyx Vance single-handily knocks out the guards and drags you to safety. She also triggers the elevator. Once you are up again, just walk into the elevator and ride down to the basement with Alyx. Just stick close to your new friend and wait for her to open the secret passage behind Breen's poster. The next chapter begins as you walk through the passage.
Don't worry, you'll get a weapon in the next chapter.