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Bobby is the guard bloke at the Lost Heaven race track right? You need to head to the Western side of the map to get to the track, and drive along a winding road for a short while. You'll then reach the track entrance where Bobby will be hanging around in or near the gatehouse. Talk to him and he'll open the gate, then get into your car and you'll then have to drive to the garages to steal the racing car.
http://www.gamefaqs.com is a good place to look if you get stuck in the future.