In this chapter, Batman locates the source of the sniper who tried to shoot Catwoman and gets a nasty surprise.
Time to do a little investigative work. There are two pieces of evidence in this crime scene: the impact of the bullet through the window, and the bullet hole where it struck the floor. The window in question is directly behind you. Turn on Detective Mode and locate the bullet hole. Hold A/X to scan the evidence. Now do the same with the bullet mark on the floor.
Follow the trajectory of the bullet's flight path, and it should lead you to a church a few blocks away. Unfortunately, the only way through is the front door below. Get on one of the church's gargoyles and drop in on the inmates guarding said front door. Beat them up and don't forget about those Critical Strikes. Once they're down, you'll get a message from Alfred warning you that Harley Quinn has set up a trap for you in the church. Batman's not particularly worried; this is Harley Quinn we're talking about after all. Head inside.
Open the door in front of you and Harley Quinn will rush at you. Take her out in one move with a Counter. A short unskippable cutscene follows where Quinn instructs her clearly terrified guard to kill Batman if he tries to move. When prompted, hit Y/Triangle to drop a Smoke Pellet, distracting the guards, and zip up to the gargoyle directly above the church's entrance. Turn on Detective Mode with LB/L1 to plot out your tactics.
This first stealth mission is very easy. You can take these guys out in any order you wish, as long as you can take them out without being seen. When you approach each inmate from above, Batman will inner-monologue about the best way to deal with each of them, so just follow those instructions. Once all the hostages are safe, backtrack towards the church entrance and take the door on your left towards the Bell Tower, where the sniper was hiding. Zip up to the top and climb the ladder.
Approach the gun the sniper used and go into Detective Mode to scan it for evidence. Surprise! Joker has trapped you in the tower with a large supply of bombs. When prompted, dive out of the bell-tower window by double-tapping A/X when running, and a short cutscene of the church exploding ensues.
From here, the game wants you to follow the Joker's radio signal to track him down. Or, if you know where you're going, you can simply head right there.
<<NB: picture needed of chimney location>>
When you approach the Steel Mill, Harley Quinn will tell her forces to stop Batman at all costs if they want the Joker to get better. Alfred will have a discussion with Batman about tactics, and you are then given the opportunity to Grapnel to the highest chimney. Do so to enter your first proper challenge, the Steel Mill.