You need a fast car of motorbike for this glitch.

I'm not quite sure where it is, but there is 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 just drive straight into the wall.

Right before you drive into the wall... jump out of your car/motorbike.

If you did this correctly you will be in the wall. The police can not get you.