This is a story related achievement and it can not be missed. You play as Niko Belic having just arrived to Liberty City on a ship. Your cousin Roman has come to the dock to pick you up in his car service/taxi. The first mission basically requires you to drive from the docks to your first safe house/home with your cousin. Follow the GPS at the bottom left of the screen to the destination indicated by the yellow arrow to complete the mission and unlock your first achievement in the game.