By keeping them put away, you won't alert the guards and cops in the building to your true intentions. If you go in with your weapons out, or your crew has their weapons out, you'll be attacked immediately. When you arrive, get out of your vehicle and keep your weapons holstered as you head inside. To get there in one piece, simply follow the X on your HUD, which will (as always) bring you to your desired destination.
La Maison Rouge is located somewhat close to your destination, the New York Federal Building. But if the evidence on her can be nabbed and destroyed before it's used in court, she'll be okay. It appears that she's about to be testified on, and her operation is in serious trouble as a result. Speak with her to learn about her plight. When you arrive, you'll find the establishment's proprietor leaning against a banister on the second floor. The first thing you're going to have to do when you return to New York is visit a woman named Rosa, who is holed up at her establishment near the safehouse, a place you're quite familiar with by now called La Maison Rouge.
