What ya wanna do is do the weapons cheat code
R2, R2, L1, R2, left, down, right, up, left, down, right, up
Kill some people. When the helicopters come for you shoot them with fucking bazookas, shoot the cop cars with bazookas, ect, ect.
Get yourself into a nice spot where you can sniper people and are not easily accessible to police. I go to one place imparticular, but can't explain how to get to it. When they start coming towards the place I back off and drop a few grenades down there. Eventually they'll send in black cars [FBI I guess], blow them up. Soon they'll send in tanks, and then you're in a world of shit.
Have fun.