Don't go alone is a cutscene in Resident Evil 2. It plays during both of Claire's scenarios.
Claire found Sherry in the passage, but Sherry tells her that the monster was actually her father, William and she've heard him by calling her name. Sherry then proceed to find him, and Claire tells her to don't go alone before following her.
Claire Redfield: "Sherry... I've been looking everywhere for you. I was so worried. We've got to go now, honey, okay? If we stay here, that monster will find us. Let's go."
Sherry Birkin: "No! I won't!"
Claire: "What's the matter? Don't you trust me?"
Sherry: "It's not that, Claire. It's because of my daddy. He is over there. I've heard him call my name. Daddy must have been attacked by the monsters. I have to help him!"
Claire: "Wait, Sherry! Don't go alone! Sherry... Sherry!"