Sal is with Maria in his new sports coupe, before telling you he needs money picking up from the Mafia lockup in Callahan Point and bringing it to him.
Head down to the lockup and you will be welcomed. But the Triads have planted a bomb behind the gas canisters, allowing it to go off and ultimately cause massive destruction. You now have to fight the Triads storming the place and collect the money in 3 minutes. After doing so, go to the mansion and lose the Triads while going there.
The Stubby Shotgun can be obtained on the roof of the shaken warehouse.