Downtown New York
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You'll begin in the streets of New York, where you'll meet up with the FBI agent by the name of George Thorne. Agent Thorne will fall for Lily's fake IDs and tell you that the FBI has obtained the codes to enter and raid the Giovanni Warehouse. Obviously, you'll need those codes, but you'll need help in stealing the codes from the FBI. Continue down the street a ways, first encountering a bag lady and then some Nosferatu. The Nosferatu are attacking one of their fellow vampires named Samuel, but you'll want to stop them. Take them out and Samuel will offer to join your party.

Now that your party is complete, continue exploring the rest of downtown New York. The most important area to visit is the apartment up the fire escape ladder near where you picked up Samuel. This apartment acts as your haven and is home to Dev/Null, an eccentric computer hacker who can help you get the codes for the Giovanni Warehouse. He'll give you a transponder uplink that you must attach to the FBI's computer line down in the sewers (which can be accessed through the manhole just outside Dev/Null's apartment).

Before descending into the sewers, you'll probably want to stop at the gun shop. The merchant has some *very* nice equipment, and since New York is your final act in the game, feel free to spend your hard-earned cash. You can also take a cab to uptown New York if you'd like, but you don't need to until after you've completed the sewers and Giovanni's Warehouse.