When they find out what happened with Chen Lin and his wife, DeWitt decides that they must reach The Factory and aid the Vox Populi (while reclaiming the airship in the process).
But for that they have to go through two regions/chapters, On To The Factory and The Factory Courtyard.
Since both chapters, On To The Factory and The Factory Courtyard, are very short missions, the next collectibles guide reveals the BioShock Infinite collectibles that can be found along the way to The Factory.
The chapter starts when you reach the gunsmiths shop (for the third time so far).
The shelves on the left side of the room (next to the inaccessible door) hold the first BioShock Infinite On To The Factory Voxophone, another audio recording belonging to DeWitt.
ALL DEBTS PAID; Booker DeWitt; July the 7th, 1912
Go across the street and wait for the door to get open.
Then walk on the bridge that leads to the factory, while dealing with the enemies. At the end of bridge, your path is blocked by an automated zeppelin, so you have to sabotage its engine in order to clear the path (this objective is actually part of the next chapter).
When the gates are opened, climb the double staircase (the large one with the statue) and check for the BioShock Infinite On To The Factory Telescope at the top of the stairs. Look through it to unlock it.
Now leave the area using the doors so you can advance in the next chapter named The Factory (The Factory Courtyard is considered to take place from the point where you reach the gates and until you destroy the zeppelin).