the cells are colour coded for each person,

how to catch each character
1.blue, he just runs around, and falls over every so often, run up to him while he's down and pick him up with O (circle) *hint* do not press any direction at the same time, as indy will just whip.
2. red this is the guy you use the gramophone to lure him into his cell (throw it in the far right cell, he should follow it, eventually)
3. green, this guy is on the fan, press the switch to turn on the fans, he will fall down, now you have to do the same as you did with the blue guy, follow him till he falls, then grab him and throw him in jail.
4. yellow, finally this guy shows up on the top floor, through some window shutters, whip him with indy standing on the appropriate pad, when he falls (after a successful whip) drop down, grab him and throw him in his cell

there ya go, job done...