How do I leave the Nexus though Shredder?

There are five different archstones on the steps near the floor of the nexus which lead to the five different areas of the game. If you go to the first one it will bring up a dialogue box which asks you if you want to go to Boletarian Palace. Also, you need to talk to one of the monumentals which is sitting a long ways up a couple sets of stairs that are different from the stairs used to reach the archstones (In fact you need to talk to the monumental first). She is sitting cross-legged with a candle in front of her. You have to do a lot of exploring and it is designed by purpose not to lead you by the hand. I know how confused you must be because I was in the same boat and almost quit. But be patient, explore, and have fun ;-)