After the dramatic and lava filled opening cinematic, you are tasked with defeating three CIA robots. Jump in the air and hold down X to stomp the enemies quickly. The enemies should be finished off pretty quickly. Once all three are down the robots will try to fry all of you with a laser at chest height. Simply use the A button to jump over the laser. After two passes Lord Business will scrap the idea and accidentally the nearby column.
Use any of the characters to build the small rocket (move near the pieces and hold B ). Swap (hold Y and use the left stick to select the character you want) between characters until you gain control of Cleopatra. In this universe, all female characters can jump higher than men so use the purple jump point to bounce on top of the pressure pad, next to the golden rocket. The rocket will fly off and hit a pillar next to Lord Business but otherwise do little to impress.
With his continued original thinking, Lord business will instead send five CIA robots to defeat you. Continue the buttstomp (jump then hold X) jamboree until they are no more. The laser will be lugged forwards again so jump over it. Use the newly knocked down pieces to make another rocket and have Cleopatra launch it.
A green spot will appear on the floor, this is what is known as a master build spot, allowing any non construction or robot character (except a specific version of Emmet) to create a special object out of three green outlined pieces nearby. Have one of the characters walk up to the spot and use it to try and defeat Lord Business.