To lose the tail, get away then stop and wait for them. Shoot two tires of their car, then get back in your own car and escape. Watch out for cops. If one car appears, kill them before the "Wanted" bar appears. If the cops are behind you with "Wanted" bar, go to the nearest train station. Get on the dock of the station. If the cops follow you, get on the tracks. Then, press JUMP to go the dock in front and they cannot follow you. They will go on the tracks but they cannot jump on the dock. Take the train and stay in there until the "Wanted" bar disappears, then steal a new car and resume the mission.