You can use your phone to see the video feed from the drone and use that to figure out where it is. Or you can just look around until you see it, because it's not very well hidden. The first one's just kind of flying around at about eye level, sometimes weaving around the interior of the building. After you blow it up, head to the second one.
Of course, all of the drones will appear inside of the "investigation" circle on the minimap. This one hangs a bit lower, close to the overpass. Listen for it. When you hear it buzzing, you know it's close.
Head to the last search area. Whoops! It's not a drone, it's a DUP helicopter. Climb a building and put something between you and the chopper, like a smokestack. Just shoot it with your zoomed shots to take out down. Retreat if your health falls. Take out any enemies that approach you and get back to the helicopter. Only take out the enemies that are an immediate threat before focusing on the helicopter. Take out any stragglers to end the mission. From here, the police drones will appear on your map. There's one in each zone. You should definitely hunt them all down and blow them up, because each one is worth 2 SP.
NEXT: Price of Redemption