The next cutscene reveals a lot. Little Jacob says, "Sharp eyes, huh." The big door opens and Dimitri Rascalov and Ray Bulgarin walk up to Niko. Dimitri says that you did an awesome job executing Faustin, but he refuses to give you the cash for killing Mikhail. He says that you robbed Mr. Bulgarin and stole a lot of money from him. Ray and Rascolov flee to the back of the warehouse and leave Niko and Jacob with dozens men.
Jacob is a mortal man, and he has a tendency (as mentioned in Concrete Jungle) to rush ahead of the player. Use your powerful weapons in this mission. Take cover and kill all the goons on the ground floor that you can. Also watch out for the lookout goons on the top floor. Remember to go ahead of Jacob or at least near him because he dies easily without covering fire and cover him.
Eventually, Dimitri and Bulgarin will escape through the front foor, and immediately after that the cops show up. DO NOT PANIC - they don’t enter the warehouse, and if you panic and rush out to meet them without finishing off all the goons first you’ll get toasted.
Besides, you don’t have to fight them anyways. Once the goons are all dead, simply run out the door (ignore the prompt to duck behind the cop car, it’ll only slow you down)- Jacob’s car is parked right to the right of it. Pile in and drive off, preferably to the Pay ‘N Spray. Once you lose the cops either by outrunning them or by spraying the car, take Jacob back to the Homebrew Cafe and contemplate your lot.