Bentley: Sly! Come in! Sly! Do you read me?
Sly: Yeah I read you. Loud and... very loud.
― At the start of the job.[src]
Sly Cooper began the mission by sneaking along a few rooftops of Paris to get into position on the roof of Police Headquarters. His task here was to break into the HQ and steal a secret police file, which was located in the office of Inspector Carmelita Fox. The file was very important to Sly, as it contained information on himself, and a villainous organization known as the Fiendish Five.
Once Sly was in position, his friend Bentley appeared on his binocucom to brief him on the task, then directed him to an air vent that would lead Sly inside the building. As he began to sneak along the ledge of a small water tower, he noticed some interesting blue sparkles below him. Bentley explained them to be stealth auras, which would allow Sly to perform sneaky moves, such as sneaking around ledges. Sly used these sparkles to his advantage to get to the air vent. Upon reaching said vent, he busted through it using his cane and snuck inside.
Once in, he came across a vertical shaft, littered with yellow criss-crossed lasers. He had to carefully hop down the shaft and avoid the lasers, or risk setting off the alarm. He disarmed the security system by smashing the siren, then entered the hallways. Bentley told him to look for a red door, which he did. However, the door was blocked from the inside, therefore Sly had to make his way around via the windows. Once inside, Sly approached Carmelita's vault, which contained the important file he has been looking for all these years. After cracking the vault and taking the file, he left behind a calling card, then Murray, the third in the gang, radioed him and told him to come to the getaway van, located at the end of the parking lot.
As Sly was about to head through the fire escape, he was caught red-handed by Carmelita. He reminisced on their last encounter in Bombay (where he took the Fire Stone of India), and Carmelita explained her new shock pistol to him. She used it in an attempt to apprehend Sly, but the raccoon managed to escape into the Cooper Van. As the gang drove off, Carmelita furiously shouted out, "You can't escape me, raccoon!".
On the drive back to the hideout, Sly gave a brief anecdote of his background and life up to the present. It involved his family's Thievius Raccoonus, the death of his father and his time at the orphanage, where he met Bentley and Murray. With his two trusty friends by his side, Sly was determined to take down the Fiendish Five and claim back his family heirloom. He pledged that on this mission, he would either become a master thief like all his ancestors, or fail and disgrace his family name.