There are four types of Collectibles scattered through nine chapters in Killzone: Shadow fall. Once you reach the second chapter – The Shadow, you can start collecting Audiologs.
Chapter 2 – Audiolog Locations
At the beginning of the mission – The Shadow, after talking to Sindair, you will come across the first enemy. Kill him, then go through the door. Turn right, and go up the stairs. In a bathroom you’ll find the first Audiolog.