Out here you'll see one of the teleport dudes and a few figments. Gather the figments then enter the caravan. In here you'll kind of be stuck inside this static looking area, punch the wall a few times to break it open. When you get out you'll find there's a bunny type thing in front of you, you'll want to follow it to get through the area.
First off, right behind your egg you came out of is a Purse tag so grab it, there is also a teleport dude right next to it. There's really only one way to go for awhile filled with lots of figments. You'll also find a Steamer Trunk tag on your left when you come to a bend in the path. You'll eventually come to a big dark demon thing of some sort, but Sasha will pull you out before it can do any damage. Sasha tells you to come back to see him when you are ready to go into the experiment again.
Talk to Sasha Nein again right away and he'll tell you that he can't let you back in the experiment without a Marksmanship learners permit, to get one you need to go to Ford's place, he shows you the UTS log entrance so jump in there and go to Ford's Sanctuary.