At this time you don't want to go into the elevator with Wesley. Look to the very right of the last turnstile, and you will be able to grab a key on the tabletop. This is very important as it allows you to access the secret Nightmare Level located in the prologue. Enter the elevator with Wesley once you have grabbed it.
Once you finish talking with him and arrive to the next floor, you will find a locked door to the right. The door can be unlocked with the key you just found. Continue that way and you will find the Nightmare Level in the corner of the small stairway. If you interact with it, you will be able to play the first level of Wolfenstein 3D.
You can interact with the two Nazis in this location by simply pressing square when looking at them up close. You will salute and so will they. Follow Wesley into the cable car and you will be taken up to Castle Wolfenstein, which is owned by Helga, head of command in this area. After leaving Wesley, simply follow the path until you get to an elevator. You will now have access to your first weapon: a silenced Handgun. You can easily take out enemies with this weapon by aiming for their head and shooting once or twice, depending on the enemy. It is very good all throughout the game and will allow you to get by quickly and quietly.
Once the elevator opens up, quickly kill the guard to the very right. You can do this by aiming at the back of his head and shooting. Pick up the Assault Rifle that he has, and now you will have access to this weapon. There will be another guard in the back part of the room, so be sure to quickly take him out as well. Once you've done this, Welsey will appear on top of the catwalk. He'll tell you to look for a folder, and find the safe that should have contained it. He will find it before you, and say that it is missing. He'll then tell you to call your agent, Kessler, by using the radio in the room.
Now, before you do that (it starts a long fight where many Nazis come to try and kill you), there are some things you might want to do before then. There is a lot of ammo stored up in this room, as well as health and armor. Stock up on armor so that you have 100, and pick up as much ammo as you can. You can also pick up another Handgun and Assault Rifle to dual wield them, if you wish. Another thing to point out is that right across from the radio that you'll need to use to contact Kessler, there is a portrait of Helga on the wall. To the very left of it you can pickup a Double-Barreled Shotgun, which can help in the coming fight.
Once you're ready to start, go ahead and call Kessler on the radio. He'll tell you that he has new information on the folder, and to leave Castle Wolfenstein to meet up with him at the tavern. However, you will be interrupted by the shooting of Nazis, and you will have to fight a few waves of them. A good way to defeat them would be to use the area behind Helga's portrait, so that they can't shoot you unless they go inside the area. However, be warned, if you do this they will throw lots of grenades that you will have to dodge unless you want to take damage. Once the fight is over, Wesley will drop a ladder down that you will climb up. Wesley will go left, and you will have to follow, but for now go into the room to the very right.
On the table in the middle of that room, you will find a letter on it. These letters provide a small amount of insight into the games story, and there are 10 letters in the entire game. Once you've picked it up, go through the area Wesley went to. You will find that you've been captured by Rudi and the Nazis, and be knocked unconscious. You will then see yourself being dragged and kicked into a jail pit in the ground by Rudi. This is the end of the Prologue, and the real game begins with Chapter 1 - Prison Break.
