The egg is activated while in the London Underground. After retrieving the penny from the coin reject slot, insert it back into the coin slot to get a bar of chocolate. As an added bonus the penny drops into the coin reject slot so you don't have to worry about not having it to use in the weighing machine.
From the vending machine, slowly walk towards the platform. A ghost appears when you reach the point shown in the graphic above. Try giving the bar of chocolate to the ghost. He won't take it, but another exit is created to the left of the sleepers.

Take the exit to meet Robert Foster, the hero from 'Beneath a Steel Sky', one of Revolutions earlier adventures.