After the intro (when you're on the phone to the Hardy boys and then talking to Xenia), you can head in one of two directions: backstage or to the museum.
Which you do is up to you, and you need to do both of them eventually, but you might want to start with the museum --
-- and specifically, with the museum office, where you can find more information about Nancy's job here.
To reach the museum, go up the stairs out of the amphitheater (past Xenia) and across the courtyard past some benches. Be sure to notice the mailbox just outside the door.
In the museum, go investigate the noise you just heard and meet Niobe, one of the actors, then explore the exhibits.
The museum is full of puzzles you can't solve yet, so head back to the entrance and turn right to see the door to the museum office.
When you've seen everything you can and done any puzzles you can in the museum and office, go back to the amphitheater and head backstage to meet Grigor, another actor.
You'll meet the final actor, Thanos, after you get the stage's lift working. Have fun!