When the demo of the game began, the hero opened up his map, displaying New York City as a hologram around him. Blips on the map showed different available missions--one was a public quest in the sewers, and others would pull him to different locations in the city that never sleeps. He could have taken any of these missions, traversing the open-world to head to whichever quest he wanted, but he opted to take the one marked "Critical" for obvious reasons.
Along the way he was sidetracked by a group of enemies who engaged him in battle. Ubisoft said the world of the Division is filled with dynamic events meant to keep the players on their toes. When he actually made his way to his mission it was fairly straightforward, but it was the journey, not the destination, that made us say, "ooh! I want to play that!"