You will have to take over all the Westside Rollerz (the blue gang) territories and do the final boss battle. Most of the missions and strongholds are pretty straightforward - just make sure you load up on ammo, food and homies before you head in and make sure you have an appropriate car at full repair before the missions.
There are many walkthroughs for Saints Row on Gamefaqs so I won't provide a full walkthrough but I do want to add a few tips for three missions:
1) In the mission where you have to kill the old guy after being locked in the trunk, make sure you have a rocket launcher with a few rockets. Instead of trying to chase him down in a car, just hit him with a few rockets on foot to kill him. In my game he was well within rocket launcher range before he started to drive off. It's ok if he gets away since you'll just have to replay the mission from the point where you get out of the water.
2) In the mission where you have to steal the Attrazione from the Rollerz hideout, you want to get in the house, go upstairs and head to the right to get the keys, killing Rollerz as you go. A shotgun or powerful pistol will make short work of the few Rollerz in your way. Then run outside and QUICKLY head around to the back of the house, going to your right when you head out the door. Get in the garage near the pool, jump in the car and head out. You need to be fast because Rollerz in cars will show up and block the garage door, making it nearly impossible to get the car you are stealing out of the garage.
3) The last mission where you shoot out the cars on the semi is really, really annoying. The way I got past it was to grab a cop car and three homies before the mission. Park the car close to the start point and jump in that when the mission starts instead of the muscle car that they provide. The cop car has four doors so you can bring three homies, is fast enough to quickly catch up to the semi and is durable enough to take a beating from the Rollerz. Speed off after the semi and hope that the crappy graphics engine doesn't spawn a bunch of car-carrier semis in your way (especially on the on-ramp). Speed up close to the semi and take aim at the cars with your SMG, empty a clip and then speed up to catch up to the semi when you run your clip out. Steer to the side when the cars blow up so debris from the explosion doesn't damage your car or knock you off track. Be careful of your aim since you need to blow up the cars so hitting the car-carrier frame doesn't seem to damage the individual cars. Once you blow up all the cars, the cab will separate and you'll have to unload a clip or three of SMG ammo into it to destroy it. If you have the cop car and three homies you shouldn't take much damage from the Rollerz throughout this mission as your buddies will do a good job of taking care of them. You will have to worry about the Rollerz semi causing other semis to jackknife in your path, though, so watch out for that.