Whatever mission your on in which I think it's the one where you have to take out the E******* that's in the Witness Protection Plan, all you have to do is exit the gate where you came from. You can find the exit in your map once you have achieve all the objectives.
Did you get the Microfilm from the Wife's necklace? If you haven't you won't be able to complete the mission and won't be able to find an exit. To get the necck lace you can either spike her drink with a sedative that's in the kitchen she will fall hard to the floor and you quicly take the microfilm from her necklace before the FBI Agent comes in and assists her. Or wait till the waterboy goes into the shack that's in the Patio and take his clothes then wait for the E******* wife to find you she will invite you upstairs to the bedroom for a booty-call once in the bedroom you can knock her out and take the necklace.