You start by facing the interstate. Make a U-turn and go the other way. Turn right at the third street, which will take you past the big lake. Immediately after the lake is an intersection. Turn left there to find a building with a garage door and a regular door. That building should have a barbed-wired fence at the top of it. To open the door, you need to go to the huge building to the right. It is black with white windows. There is a door on the very left side of this building, which is facing the other building you are trying to open. Push Triangle at that door to unlock the immunity cheat for no police. To access this cheat, select "Gameplay", then "Secrets" at the options screen.