The Alley-oop is located in the top left corner of the map.
You need to build a pretty simple vehicle to get there:
Propeller - Steel Box - Suspension - Steel Box
Update: (thanks to FinalKaos) The vehicle from the achievement picture works as well.
Place the Pig in the Steel box on the left, and place a red + grey engine in the Steel box on the right.
Note: The engine is not available from the start. You need to collect a certain star for this engine to unlock, I do not know which one.
Now make your way to the left, first drop down little, go down the hill on the left with decent speed and take the jump. While in the air, put the engine on again. If done correctly, you will land somewhere in the snow. Going further to the left, will take you into a passage, leading to the Alley-oop. There's two stars in the alley-oop, you need to collect the lower one for this achievement.