I appreciate that they went to the effort of having different objectives in some stages. In these ones, you not only have to get the keys but you also have to rescue one of your sweethearts from a cell. The problem is, on this level, the cops typically got to them about one second after I grabbed the final key. If this happens, you have to keep replaying it over and over until you finally do rescue her. Being a dummy, it took me a while to remember to grab the key closest to her cell last.
