It seems that you are now back in Stilwater, although it looks a little different. Once you talk with Kinzie a bit, go ahead and steal a car like the game asks you to. When you do, you will need to open your map and place a beacon on the Friendly Fire shop, which is where you need to go.
Enter the store and buy a weapon (you also need to buy an upgrade for the weapon), then exit to find some "friendly" police waiting for you. Kill them all and then follow the radar to the next objective. This is a Flashpoint, which are similar to the Gang Operations from the previous game. Kill all of the aliens to complete the Flashpoint (earning you 300 Reputation, as well as 2,000 Zin Dollars).
Get another vehicle, if you don't have one, and then start driving to the safehouse that Kinzie talks about. When you get there, you find that there's nothing, as Zinyak removed all signs of the Saints from the simulation. With that, the mission comes to an end.
