-( Story related, cannot be missed )-
Mission 5: The Guns of Alcatraz
You'll finally learn of the KGB base on the Rock. It would be in your best interest to have already unlocked the landing zone here and touch down, that way it is a quick in and out. Head over there and meet with the KGB to advance the story. After the cutscene, you'll want to deal with and chase down the dossier, killing any and all agents in your way. By claiming the dossier, you'll unlock a time limit where you'll need to get to and dispose of four vans with nukes on top. Abduct each and drop them in the bay to finish the mission and unlock your next destination: Albion.