If you do your quests in Marleybone, they will lead you to Dr. Katzenstein's Lab.
Open your Quest Log to see what quests you still have to do. In each quest, there is a bubble in the upper left corner. Click on the bubble and it will tell you what you need to do for that quest. Hope this helped.
Dr. Katzenstein's Lab is on the rooftop in Scotland Yard. You go there after you talk to Dr. Watson on the rooftop. The Lab is right near Dr. Watson.