At the beginning I thought you could return to most places as in the first games, so I didn't care too much about forgetting about the secret key at the beginning You'll have to have Elizabeth pick the lock to enter, and you won't be able to find the room where this Voxophone waits until you find the "Sally" Voxophone. Once you've stepped out of the elevator and cleared the room, head to the right of the locked door. Enter and head down to the basement. Sitting on a shelf in the Lansdowne Residence.
nest...