Hi anniemoo,

to GameBoomers.
Yes, this is another tricky part in the game. How far do you manage to get before you're nabbed? Have you checked the walkthrough which offers a step-by-step:
1. Go out of the office building.
2. Take the bottom of the screen exit and see Holmes standing right of the lamp post.
3. This part requires very precise positioning. Click to get Holmes above and little to the right of the covered wagon at the bottom of the screen. The spot he stands on is below a dark area on the ground.
4. Take the time to open your inventory and move the warehouse key to be easily accessible.
5. Wait until Marty turns the corner and just about even to the covered wagon's tongue (woods); the dog pass the lamp post at top of screen, then run down and cross to the left and up to the door of the Fairfax theatre on the left of the screen. Be fast here.
6. Go close to the door and immediately - use the warehouse key on the lower part of the door.
Step 5 is very important -- although my own technique here is to discreetly follow Marty instead of leaving it until the absolute last minute -- but do be sure to leave enough time for Marty to walk on ahead once he's around the corner of the central building before you make a final run for the theatre.
If that doesn't help -- let us know.