To get this trophy, you will have to unlock both Magneto and his vehicle. Magneto is unlocked after finishing story mission 13 ("Magnetic Personality"), and can be purchased for 150,000 studs. Then go to the X-Mansion (northern part of the map) and locate Professor X, interact with him and after a short scene, you'll unlock the Magneto Mobile.
The Baxter Building is slightly southwest of the center of the map, this is the same building you enter near the start of story mission 2 ("Times Square Off"). All you need to do is drive the vehicle as Magneto near the front entrance.