This is a short mission, with a single objective, and shouldn't take you long at all to clear. Damien called you at the end of the previous mission to let you know that you're wanted by the police now. When you start the next mission, there will be a scene and then your objective is obvious.
Leave town. Avoid the Police.
You are a wanted man. Nicky isn't happy with you, but she's in the car with you and so is Jackson. Now you just need to help them get out of Chicago. The next steps you take have to be taken quickly, without hesitation. If they are, you can probably finish the mission in the matter of a minute or so.
From Nicky's house, drive forward to the intersection. Veer left a jot, then back right and continue straight as two police cruisers meet on the street you just left. Drive straight forward while keeping an eye on the mini-map. There will be a bar that indicates a barrier, one street to your left. Continue forward one more street beyond that.
Take a right at this intersection, and drive straight until you reach a 'T' at the edge of the landmass. There is water ahead of you. Take a left and follow that road as it proceeds along the water. If you drove swiftly up to this point, you're all but free and clear. Just keep driving through heavy traffic, keeping to the straight stretches while you put as much distance between you and your pursuit as possible. There may be another barrier or two that you need to avoid, but no significant challenges.
Once you leave the police behind, check your map and you'll find your objective, marked in yellow. Set a waypoint and then drive toward it. As you get close, the mission concludes with a cutscene and a phone call.
NEXT: Act IV: No Turning Back