Go to the Penthouse and then continue going across the street.

You should see a road that goes down.

Go down there and keep going down.

Then take a look at your map and then find the store "Let's Pretend" (this video might help - http://www.youtube.com/watch?v=x04l2t5vf8A).

Go to the Hamies and Bodyguards part, then find the SWAT and there you go.