Despair is Chapter 4 of The House of the Dead 2.
After fighting an army of mutants along the way, James and Gary eventually reach the surface and enter the Coliseum, where they are greeted by Goldman himself via a monitor. Goldman could care less if the AMS agents "try to get in his way or not", but time will tell who is right. Goldman gives the AMS agents a present in the form of Strength, with Amy taking care of Harry's wounds, as Goldman's monitor shuts down.
James and Gary defeat Strength and they can look after Amy and Harry. Amy says she is alright, but before she can speak of Harry's condition, she was cut off by Gary. A wounded Harry gives James and Gary the car key, the car itself parked in the city square and Goldman being on the top floor of the building at Point A0063. James and Gary eventually go to the city square to put a stop to Goldman's plans.