-Key 1: The very first room of the level, behind one of the big brown
containers near the GUN soldiers and Black Arms soldiers.
-Key 2: In the room where you use the turret to destroy two GUN mechs to open up the cage in the center. The cage will let you use the zip line to get to the walkway surrounding the room. When you get off the zipline, go right. It's between a couple of those big brown containers, almost in plain sight.
-Key 3: Keep going until you get to the next big room similar to the one the last key was in. When you get on the walkway surrounding the room, you'll run left until you find a pulley. Instead of using the pulley, run past it. There's a key at the end of the path.
-Key 4: After the fourth checkpoint the path will split, giving you the option to go up a pulley, or straight through a door. Go through the door and get to the second mainframe computer (those big blue ones you need to destroy for the dark mission). The key's right behind the computer, surrounded by roadblocks.
-Key 5: Right after the five key door is a narrow room with trapped walls. Triangle jump between the walls before they close in on you and make it to the end to find an extra life and the last key.
Okay, there you go. Hope it helps. You probably should've used the Shadow the Hedgehog questions section, though.
Don't mess with tha hedgehog