As you go through the missions of the first town (one kind of leads into another), you will eventually come to a mission with Mikey the mechanic who had offered you an opportunity. This time you take the offer and he teaches you to jump past barricades to a tunnel that leads out of town and into the big city.
This trophy will pop after you clear the tunnel. :)
Now why it says "Follow a lady", that you will have to see in your missions. ;)