You need a fast car or motorbike for this glitch. I'm not quite sure where it is exactly, but find a circle of concrete with a cone shape roof above it. There is a wall (that is like all the others...don't worry it wont take you long to find out which one) and you simply drive straight into the wall. Right before driving into the wall, jump out of your car/motorbike. If done correctly, you will be in the wall and the police can not get you.