Jimmy Pegorino tells you that you're going to be running security while he tries to do a deal with another family.
The Old Refinery
After the cutscene, get into Pegorino's car. Wait until everybody is in, then make your way to the old refinery. Get there by following your GPS. Park in the mission objective marker then watch the cutscene.
Niko will be given a sniper rifle and told to climb to the vantage point. You need to look over the deal, and only open fire if there's a good reason, which of course there will be.
Head into the warehouse (you'll find the entrance door right next to the car, not where the blip is on the map) and make your way up to the vantage point. Watch over the deal, and then snipe all of the guys when it goes to shit. You'll need to head back downstairs and rescue Pegorino once they're all dead.
Rescue The Peggster
As you head out of the warehouse, three or four guys will be shooting at you, so take cover behind the wrecked car and pick them off. Kill the guys up where the cars are, then run and make your way into the offices where Pegorino is being attacked. You've got to get there quickly before he dies.
Take out the five or so foot soldiers as you head in and grab the body armour from the floor, then once you reach Pegorino, you'll see a small cutscene where a car tries to escape.
Chase That Car!
Don't bother shooting at it because if you destroy the gift inside it, it's mission failed, so just keep on it's tail. Eventually it'll crash and the guys will get out. Murder them all and grab the gift back for Pegorino.
Once you give it to him, take him back to his place.
- There's an M4 Carbine rifle on the bottom floor of the sniper building. Use that to help you kill the enemies once you've moved outside.
- Auto-aim and cover are vital to take out the 20 or so enemies, so don't go running in rambo style.
When you have to rescue Pegorino, he'll be waiting at the end of the building opposite from where the deal went sour, instead of fighting your way through, go up the steps killing the guys on guard and run down the right side of the building its quicker and you've less chance of losing health.