After the events of Episode 1, you'll wake up in the Sheriff's Station. Explore the station to gather information and interact with characters. You'll eventually be released, but the darkness won't be far behind. As you leave, prepare for an ambush. The station's exterior will be swarming with Taken. Utilize the patrol car's headlights as a temporary light source if needed, and focus on taking down the most immediate threats.
Inside the station, look for a map of Bright Falls, which can be helpful for understanding your surroundings. There are also several collectible items, such as coffee thermoses, scattered throughout. Before heading out, ensure you've picked up any available ammunition and batteries from the evidence lockers or desks. The initial encounters outside the station can be quite challenging if you're unprepared.