>>41166
Been a while since I played the game, but if I remember correctly. You have to go to the Police HQ and talk to the chief on the top floor. After that you head to the east side and should find a factory which is pretty much your first dungeon. After that the game pretty much follows the same formula. Go back to HQ talk to chief and then search around town to find what new area can now be entered.
I really wish this game had a translation though since while the scenes alone are pretty good the story actually seems interesting as well and I wish I knew what the hell was being said.