Interpol
Here's where the game starts. The left analog stick and the D-Pad let you move around, though I recommend using the left analog stick, as a fair amount of PS2 games have you moving with the stick. The right analog stick lets you move the camera around, and clicking the right analog stick (which doubles as the R3 button), you can place the camera back directly behind you. X lets you jump. Square lets you strike with the cane.
By striking objects and enemies, we can get coins. By collecting coins, you can earn lucky charms that give you extra hits, starting with a silver charm followed by a gold charm that turns back into a silver one when you get hit. If you have a gold charm when you collect 100 coins, you'll get a 1-Up.
When you see blue sparkles, you can hold the Circle button to move where the blue sparkles are and use the left analog stick or D-Pad to sidle along narrow ledges.
When you see lasers, you'll want to avoid them. If you touch them, they will turn red, and if you touch them again while they are red, you'll get burned and take damage. To turn them off, you'll need to hit the orange alarm system on the way forward in order to deactivate them. Here, you'll want to use single jumps to follow the coins and land on the platforms. Either way, you'll need to destroy it here to continue anyway.
Now that you're inside Interpol, you'll need to make it to the door with the drawing of the fox head on it, which is Inspector Carmelita Fox's office. The door will be locked, but the windows nearby will be open. Go through the window and use your sneaking ability that you just learned to get into her office, then go to the nearby combination vault. (You can destroy everything in the room for extra coins if you want.) Bentley will automatically tell you the combination: 9-3-7. Use Up and Down on the stick or D-Pad to change the numbers and Left or Right to switch between positions on the safe. When you have the combination, you'll automatically open the safe and get what is inside. In this case, you'll get Sly's case file back.
From here, leave through the nearby window. Once you do that, Carmelita Fox will show up. After a brief conversation, she will try to shoot you with her shock pistol. You'll need to go down from balcony to balcony and stay on the move to avoid being shot, then you'll have to jump over numerous obstacles at ground level to get to the van. Once you reach the van, jump inside and Murray will speed off in the van.
If at any point, you save and quit the game during this level, Bentley will actually explain the save icon to you. This is something I did not know about the first time I played through the game, and I only found out about it on accident!
You'll then get a brief cutscene that explains the story of the game: back when Sly Cooper - who is a member of a long line of raccoon thieves - was eight years old, he was supposed to inherit the Thievius Raccoonus, a book containing information on how to steal from master criminals as written by past members of the Cooper clan. On the day he was supposed to inherit the book from his father, a group of criminals known as The Fiendish Five burst into his home, killed his father and split the contents of the Thievius Raccoonus among themselves while he hid in a closet. Broke and alone, Sly was sent to an orphanage, where he met his soon-to-be lifelong friends and partners in crime in the Cooper Gang: Murray, a purple hippo who would later serve as the getaway driver, and Bentley, the communications expert and planner of the group. The three of them, having become accomplished thieves, are now trying to get the Thievius Raccoonus back and helping Sly get revenge for his father's murder.
You'll then be in the hideout. From here, use Left and Right on the left stick or D-Pad to choose between levels, and press X to confirm. There is only one mission to go to at first, and the rest are blocked by Murray.
Tidal Trouble
The first mission takes you to an island in the Welsh Triangle where Sir Raleigh Frog lives. Sir Raleigh Frog was a bored aristocrat, but he soon decided to try piracy and got good at it. He quickly became the chief machinist of The Fiendish Five, and he has now made his hideout in the Welsh Triangle.
A Stealthy Approach
The green bottles are clue bottles. Each stage in the game has a certain amount, and once you find all the clue bottles, you'll be able to open the vault in the stage. The vaults in the stages are opened the same way you opened the vault in the tutorial. You don't have to strike them to collect them - you can just run into them to break them - but I usually strike them to hit them from slightly further away.
To climb ropes and ladders, you'll have to get close to them by any means necessary and press Circle when you are near them so that Sly can latch on.
The brambles past the iron gate will damage you on contact, so don't touch them. Also, be careful when smacking the signs with the torches on them, as the fire will burn and hurt you if you touch it.
There is a ship shortly after the start, you'll need to go to it and hit the mast multiple times for some clue bottles. The enemy there will have a mallet; wait for him to swing the mallet, then get in close and strike.
The spotlights are just like the lasers, except they move back and forth and cover a slightly larger area. If one touches you, they will turn red, and if you touch them while they are red, they will burn you. Destroy the orange alarm system to get rid of them.
The signal repeaters are checkpoints; run into one or hit it with your cane to trigger it.
The men who throw stars at you will nail you if you don't stay on the move. Keep moving forward and be ready to jump if necessary.
Be sure to destroy the statues after the brambles; you'll get some clue bottles that way.
As you get closer to the end, you'll find Sir Raleigh's weather machine in the sky, which is keeping the weather in the area rainy 24 hours a day.
Be careful on the waterfalls; you can get pushed to the side and off the cliff. There are some clue bottles off the edge of the first one, and you can use the rocks on the second one to avoid the water.
To grab onto the hook, just jump towards it and hit Circle to grab on. Move forward and back to swing to and fro if you need to, and jump when you swing forward.
After some spinning platforms, you'll have to deal with some more spotlights before you can climb on some ropes for the last of the clue bottles.
The combination for this safe is 7-9-2. Inside the safe is a page from the Thievius Raccoonus that teaches Drake Cooper's Fast Attack Dive Technique. Press Triangle, and you'll be able to strike enemies with a slight forward lunge. L2 and R2 will you switch between moves as you unlock more moves by unlocking more vaults.
At the end is a Treasure Key in a cage. Strike the cage to get the Treasure Key, and you'll be able to take it and exit the level.
Prowling The Grounds
If you want long enough, you'll get a hint on the double jump. Pressing X, then X again in mid-air lets you perform the double jump. You may grab onto the ledge; if that happens, just jump and move forward at the same time. If it's a ledge, Sly can probably grab on to it.
After some platforming and grabbing onto some hooks, you'll get into the hideout. Along the way, you'll find your first charm, which will act as an extra hit as mentioned before. Your first mission in the hideout - which serves as the hubworld for the first chapter of the game - is to collect more Treasure Keys so that you can destroy the power generator and de-electrify the high voltage power tube that leads to more of the hideout.
Interestingly, there are some areas in the first part of the hub where you can find 1-Ups (signified by spinning Sly Cooper heads) and charms. If you have a gold charm, the charms won't be there, but you'll still be able to find the 1-Ups.
If Bentley is contacting you on the Binocucom, you can move Bentley's face around with the left analong stick and move Sly around with the right analog stick.