You don’t… the player isn’t Carmen Sandiego. The player is chasing Carmen Sandiego. That’s the whole point - the title isn’t Where in the World Are You?. The entire plot of the game is about what priceless historical artifact or landmark Carmen has stolen and how to track her down.
Did people seriously not understand that? They made a popular kids TV show that ran for 4 years, it’s not like it was an obscure property.
