This is an unmissable, story-related achievement. Near the beginning of the story, you'll go into the club where Didi wants to go (where her mother works). After you turn on all of the spotlights and aim them correctly, you'll go through a lit doorway for a cutscene. Then, just go down the stairs and through the next lit doorway to exit the club and go into the alley. This is the end of one "chapter", and the beginning of the next, so the achievement should pop in the alley, as the game saves and the new "chapter" name pops up.