Start this mission by going to the strip club, noting that Trevor is located in the back area, behind where you get a private dance normally. You're controlling Michael, so get in the car and you will be able to switch to Trevor if you want. It's best to stick to Michael, as you will automatically switch to Trevor later in the mission.
Anyways, drive to the Union Depository and you will need to check out the place. Go to the front entrance and scope it out, then do the same with the back entrance, noting that there's not much security on the outside. The game will now switch to Trevor, who is likely still driving to his airfield. When you get there, get in the chopper and head to the next objective.
When you get there, you'll need to follow the two vans on their route, making sure not to get too close or too far (it's one of the challenges). There is another view you can use to track the two vans, but it's not needed, although the chopper is automatically controlled by the AI in that view. Keep track of them all the way until they enter the Union Depository.
You now have to look for a hole that's being used in construction. It's on the east side of the red and white building, and Lester wants to get a very close look at it. You will need to fly and hover right over the hole, and switch to Lester's camera, holding your position until he says all is good. Depending on who you're playing as, either drive Franklin back to his house or fly the helicopter back to the airfield to finish the mission.