This is the first mission in the game and is more of a tutorial than a proper mission. Once you have escaped from the police van, get in the vehicle provided alongside 8-Ball.
Enter the car by walking up to it and tapping the door icon. You can accelerate by pressing the gas pedal, and steer either by using the arrows on the left, or the circular steering node - this depends on your control setup.
You need to head to the safe house, which is marked on the map with a pink square. You can find it in the red light district. Once there, you change clothes and pick up a baseball bat. You then need to travel to Luigi's sex club - 8-Ball suggests he may have some work for you.