After the escape from the explosion, grab the Sense in the lower part of the playground and then head down through Sector 6 and back to Aeris' house to check on Marlene. You can rest for free upstairs. Go back to the house on the right and talk to the boy there: if you didn't take his gil he'll now give you a Turbo Ether. Head back to Wall Market and visit the Weapon Shop. Talk to the owner and buy 3 Batteries from him for 100 gil each (300 gil total).
When you're ready, head up to the front of Corneo's mansion and then head right. Talk to the girl there and then climb the wire up to the top. Use the first battery to make the propeller spin to make a bridge. Use the second battery to activate a barricade and create another bridge. Before jumping the swinging bar, climb up to the next screen and then use the third battery to open a chest that contains an Ether. When you reach the top you'll be at the front entrance of Shinra Headquarters.