Get to Little Jacob and Roman in a car in Koresh Square and get inside. Jacob and Roman point to a mysterious car nearby; they're Pegorino's men. Make a U-Turn. It looks like a U-Turn is impossible, but Jimmy's men will shoot the car's tires up a bit to make this U-Turn easier. Drive after Jimmy's goons. They will weave on and off the highway, so drive carefully and make sure to keep up. After a few minutes, the chase will finish in Northern Alderney near Leftwood. Be careful not to send the car into flames by then or you'll fail.
The target vehicle drives to an abandoned casino, Pegorino's apparent hideout. A cutscene shows Niko's car sliding to the side and stopping. Niko, Jacob, and Roman get out, take out their weapons and gain cover behind the car. Niko tells Jacob to take Roman home and take care of him until Niko really needs their help. Jacob and Roman run away as fast as they can and leave Niko to clean up Pegorino.
Get cover behind the trunk of the car and take out the men on the casino roof. After that, run closer to the casino and use one of the crates of salt as cover. Finish off as many goons as you can. Remember that grenades and a rocket launcher will help to get the last of them. Make sure there are no goons left standing, and then walk to the door at the front of the casino. Get cover on the right side of the door.
Upon entering the casino, use an Assault Rifle to take out most of the men. If there are any goons hiding, use a rocket launcher to finish them off. Once most, if not all of them are dead, run inside and get the first aid kit on the left wall if you need it. Kill the last of the men and go to the big hole at the back left of the casino.
Cutscene: Pegorino will run up some stairs screaming, "You motherfucker! Don't think for a second that this was anyone's fault but your own!" Then he leaps out of the sky door.
Chase him up the stairs and out onto the roof. Don't shoot Jimmy - he has infinite health at this point so you're wasting bullets. Focus only on killing the goons - some of them have a nice, bloody death.
Slide down the stairs up ahead and gain immediate cover. Use a strong firearm to take out the last of the men protecting Pegorino. Take out a rocket launcher once Niko rounds the corner to take out the goon's car. Alternatively, go down the ladder after killing the goons up and use a "chaos strategy" to waste the other goons. Keep running left and right but straight and keep shooting the goons and not wasting time by taking cover and all that. Once the goons on land are dead, two of Pegorino's guys will come up in a car and try to do a drive-by at you. Take your M4 or AK and shoot at the car. It will turn upside down, and once the goons come out of the broken car, shoot them while they are opening the doors.
As you are chasing Jimmy, you might see Roman and Jacob's helicopter passing over Niko's head. Roman explains that he will chase and kill Jimmy but Niko says "Not without me you're not!" Accelerate and go off the ramp highlighted on the radar.
Cutscene: Niko ditches the bike and grabs onto the chopper's platform.
Work your way onto the helicopter and Niko will take the steering. Fly at a medium altitude - don't fall into the water! Pegorino will shoot several rockets at the chopper; try to hold your ground. Once Jimmy has one rocket left, Jacob will use his own rocket launcher to send the boat in flames. The sharp blow causes Pegorino to fall over and accidentally smash the trigger of his launcher, blowing up the heli as well in a surprising turn of events.
Cutscene: Both the boat and the helicopter lose control and brutally crash at Happiness Island.
There will be a few of Pegorino's goons on the island. Finish them off and you will automatically get a two-star wanted level.
Approach Jimmy at the side of the Statue and kill him normally with any weapon (you can kill him while he is running).
Cutscene: Niko explains to the dying Pegorino that the Old Families thought that Jimmy was "a fat fucking joke". Niko turns around and laughs hysterically. Jimmy, with his last strength, raises his gun in hopes of killing Niko, but Niko turns around shoots Pegorino in the head with his AK-47, killing him for good.
- Fill your Assault Rifle as this will be the dominant weapon in this mission. Have at least half ammo on the SMG as well.
- Find cover in heavy shootouts as Pegorino's men have heavy firearms.
- There are alternative strategies available at various points in the shootout:
- Upon reaching the casino, go up to the steel fence and take out your rocket launcher and blow up all the goons' cars with it, killing most of them. Then take your M4 Carbine or AK-47 and blast the other of Pegorino's goons.
- When your car skids to the side and Jacob escapes with Roman, go to the back of the casino. Climb up the back ladder and get rid of the three snipers on top. Use their spot to eliminate all of the men by the front of the casino. When all seems quiet, jump off the casino and proceed with the mission following the tips above. This method is easier however will get Niko to lose more health.
- If your a risky type or have full Health and Armor, go onto the roof of the Casino and proceed to the main "Roof" of the place. You should see some broken areas - you can kill the goons inside the casino from here.
- Ignore the game prompt to stay low in the helicopter. If the helicopter is too low in an attempt to destroy Pegorino with the helicopter miniguns, the helicopter might sink into the river.
- Go First Person during the helicopter part. Its much easier to dodge rockets since you can see them coming better. Remember to bank alot and change altitudes since just turning makes you an even bigger target.
- When you reach Happiness Island, immediately get out your sniper rifle and shoot Pegorino multiple times. Doing this will kill him right away and you won't have to chase him and you won't have to kill anymore of his thugs.