When the mission begins move to the left of the warehouse, use the metal girders to climb onto the walkway (upper level). Use the shoot in the leg trick to remove the assailants on the walkway and then use the same method to take out all the assailants attacking you and Little Jacob.
The strategy for this mission is a little bit hit and miss, i.e. it doesn't always work. This is always the case when another game character is with you in a mission, and you have to keep them alive. Remove enemies using the shoot in the leg trick. The strategy for this mission is to escape the warehouse during the fire fight, lose the police wanted level and return on a motorcycle (there should be one available at the petrol station nearby). The reason for the motorcycle is that you need a vehicle that will fit through the door. It should be possible to avoid further contact with the police as you escape with Little Jacob, take him back to the homebrew cafe to complete the mission with zero kills.
[In my last play through, I just left the warehouse ignoring the cops and got into Little Jacob's car and he followed - this made this mission much easier, whether this was a fluke or not, I don't know]
This completes CHAPTER ONE of Grand Theft Auto IV, The Storyline moves on with Roman's Sorrow, but this does not involve any kills provided that you drive carefully.