When you get to the end of a section (for example, going down the stairs to hunt down the Grey Lady ghost, just after they brief you on the P.K.E. goggles), put on your P.K.E goggles and walk through the door or off the staircase. After the other Ghostbusters are finished speaking, you will notice you cannot see your character. You can only see through their eyes, and you can clearly see the trails of ectoplasm (the little colorful clouds of ghost goo) without the goggles on. To exit, return to the firehouse or wait until you get to the next part of the level.