Instructions
Walk up to the gate and press the PlayStation 2 controller's "X" button or the Wiimote's "A" button. A cutscene will play, indicating that the gate is locked and requires a key to get through it.
Walk directly south of the gate while hugging the wall through which the gate allows entrance. After a few feet, another cutscene will play, and Emilio will throw a key over the wall.
Approach the key and press the PlayStation 2's "X" button or the Wiimote's "A" button. Your character will then bend down and pick up the key.
Walk back to the gate and press the "X" or "A" button to unlock it.