Upon entering the station, head right to the side without vending machines to find a kinetoscope. A firefight follows soon after so clear the room of hostiles first before checking around for loot, then continue toward the sky lines. Once on the rails, you'll want to dismount on the platform where there are enemies shooting at you. Right on the edge of that platform is a telescope.
Go inside the building and check the desk in the back room for a Health Infusion phial. Return to the sky-line and ride it until it stops by itself at the control room.
Check around for loot; don't forget to snag the Voxophone from a desk in the office. Next, pull the control lever to move the obstacle and get back on the sky-line.
When your ride stops a second time, eliminate the oblivious cop and grab onto the next freight hook. From here, your goal is to reach the second floor balcony of the hotel. Once there, enter the bed room and look behind the bed stand to the right for a piece of Gear.
Board the Sky-line again and dismount at the next building where you can pull a lever inside. The people here are not hostile so there's no need to kill them. Next, get aboard Comstock's Zeppelin and steer it toward Monument Island. This chapter concludes with Booker having to escape the burning Zeppelin. Just grab onto the sky-line to do so.