How do you find the Museum security guard on Counterfeit Island?

The townspeople give you lots of hints, and sure enough he is at the Clown Store. Get his timecard and then go over the museum videos.
Following the theft of the painting, the security guard (Cpt. Happy Foot) is missing. The townspeople will give you hints that he would "need some cheering up", and you will locate him at the Clown Store. His time card shows when the painting must have been stolen.