The Clue Record Sheet is right there together with the Character Sheet as explained by ^ Fifth. The goal of this specific gamebook is not collecting the clues themselves, they only help you in your adventure; sometimes they can be used as choice condition. For example the gamebook says "If you heard an alarm and found Clue H, turn to page XXX; If you didn't hear the alarm and didn't find Clue H, turn to page YYY". Some clues refer to Saruman and your self-imposed mission etc.
Being a Choose Your Own Adventure, in MEQ you decide your final goal. You may say "screw this, I'll just escape to Rohan" and proceed doing this. Of course you miss most of the gamebook's plot this way, but it is a valid choice and a valid ending.
