Grand Theft Auto IV Walkthrough

When you regain control after the confrontation cutscene, his quick-shooting friend will wield a gun and begin firing. Immediately take him down (you should have an uzi and/or a shotgun by this point, so either will do -- a pistol is a distant third choice). Lenny books it across the tracks, though, and two trains coming from both directions will give him a head start on you. This is where things get difficult. If you're good, you'll be able to run to the other side of the platform and gun down Lenny as he's running down the stairs. Even one shot will slow him down, make him stagger, or make him fall outright so you can finish the deal. Otherwise, a car chase will ensue.

If the car chase occurs, you're in for a bit of a headache, because while Lenny drives relatively slowly, getting him to actually stop is a real pain in the ass. He'll jump in his car, but there should be a car for you to jack nearby. Stay on his tail, ramming him and trying to spin him out. Shoot some bullets at him through his windshield or windows, and do anything you can to damage him and make him stop. There's no doubt you've attracted the police's attention by now (in fact, your flagrant use of firearms at the subway station probably got that ball rolling), so you're gonna have to deal with a lot here. It really pays off to kill him as he descends the stairs back at the station. It makes this mission ten times easier.