1.After you leave the gay bar, don't enter the subway or the taxi - instead,
  destroy the red car, until a cutscene starts where the bartender will tell
  you everything. 

2.You'll find yourself in the subway. Make your way through the subway, then
  enter the train (hint: use the phone before entering the train, that will 
  summon an ally to fight by your side and help you a lot), beat up everyone
  here too and leave the train. 

3.You'll find yourself against two gang leaders.
  It doesn't matter if you defeat them or not. If you did defeat them, go to 
  step 5.
4.If they defeated you, after the cutscene, you can choose one of two options.
  Choose to go straight to the Phylex building. 
5.Make your way through the skyscraper to the final floor.
6.Time for the final fight! 

Note: To destroy the helicopter, wait until the cannon above the door falls 
off the wall, then pick it up, use alt-fire to arm it and shoot the helicopter.