GoldenEye 007 on Nintendo 64 - Agent Mission 6: St. Petersburg - part ii: Military Archives

1. Escape from interrogation room
2. Find Natalya
3. Escape with Natalya

a. Escape from interrogation room

The guard on the right has the key. Personally, I prefer not to pick up the gun on the table, since the guard lets you approach if you're unarmed, and a good punch in the face works just as well. You can kill both guards this way. In general, it can be a good idea not to shoot in this level, especially from Secret Agent difficulty onward. Once you have the key, take the door.

b. Find Natalya

Leaving the interrogation room, go right and take the staircase at the end. At the top of the stairs, turn left and go through the door at the end of the corridor. In the opposite corner of the large "mezzanine" room, take the door at the far left, up the stairs. In this other large room, go straight ahead and open the small door located between the two big ones. Somewhat surreally, Natalya, held hostage and even at gunpoint with a guard behind her, shouts "James" and joins you.

c. Escape with Natalya

Leaving Natalya's "cell", take the door at the far right to reach the large "mezzanine" room. Opposite the door you came through are large windows. Shoot them out and go through to escape.