Franklin needs to shake the cops from his tail and get the car to the dealership in one piece. Make a right out of the lot onto Power St, then a left onto Low Power St. Take that straight on, cutting across Alta St to the Del Perro Fwy. There is a break in the railing that you can drive straight through:
From there just book it on down the freeway until you shake off your wanted levels. If not, find a nice place to hide off the freeway and wait it out. Like here:
Just wait for a while for your wanted level to vanish after that.