This is an unmissable storyline achievement from the beginning of Chapter 14.
You'll go off and execute a federal informer. Once he's dead, the FBI will chase you down and try to kill you. They will also make a call to local law inforcement leading to an immediate 3 star wanted level with both personal and vehicle notoriety.
There are really only 2 ways to get rid of this:
1. The faster, but probably more dangerous way, is to just get out of your car and kill all feds and cops in the immediate area, then take a completely different car to one of the clothing stores.
2. Try to outrun them. This will take a bit longer. If you manage to however, I'd highly suggest trying to bribe the cops over the phone rather than trying to jack a completely new vehicle. I personally found the police presence too intense after this chase to give me any more time than to make a mad dash to a phone.
After all of that is cleared up, Joe will ask you to drop him off at his car. As soon as that is done, the achievement will unlock.