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This achievement can be earned at any time during your playthrough, but is best done at the French Ward Police Station.

Before heading over there you will want to make sure you have a Screaming Zemi. This throwable item is unlocked after completing the first Racket mission of the game (killing Merle Jackson and taking over his nightclub). Screaming Zemis can also be purchased from the Arms Dealer Associate via the weapon wheel.

As shown in the video below, you will want to take cover behind the building and throw the Zemi into the HQ garage where there are three cops on watch. This will lure all the cops from inside the station. Once they are all grouped up (there should be five or six of them), switch to your preferred firearm and shoot one cop. Wait until it says, "POLICE WITNESSED CRIME," then quickly shoot the remaining cops in the head in order to unlock the achievement. If you mess up, let them kill you. You will respawn in a nearby safehouse and can try again.