Wake up and open your eyes. You somehow found yourself alone on the train after the chaos of the Citadel explosion in Episode 1. And by the way, you're alone again! She's gone! Follow the train to the very end and look to the left. Alex will soon run up, exchange a few words, find the Gravity Gun, and open the door. Equip the gun and run to the right of the train, open the door with the right mouse button and go inside. Look at the destroyed city from the rocks, then continue on as the shockwave from the portal sweeps across the area and breaks the rocks blocking the tunnel. The path is linear, a continuation of the tutorial, with a small number of zombies.
Poor Alex will be caught by an Alliance Hunter and stepped on, but he will later be killed by a Vortigaunt, who will also help you get back on your feet. Once the area is clear and you've found the elevator location, grab the Crowbar and head down. Collect loot as you make your way through the shaft to the elevator, and grab the ammo on the floor above. Using the Gravity Gun, head to the exit point (keep an eye out for loot). After going several levels deeper, through holes in the floor, you'll finally reach a location with a hole and a visible white light below. If you try hard enough, you can quickly run towards it.
There are several other places you can explore ahead, and running will help you avoid getting stuck. Continuing to run to the left of the tracks, near the mining machines, you'll be attacked by Antlions. Use the cannon to destroy the ammo boxes on the table near the lockers. When using the explosive barrels, face the hole in the wall next to the lock, staying close to the right edge of the wall as you move forward. Release the barrel, and clear the way with the Gravity Gun.