Once there, head to the front door and press E when you get the prompt. Now, once you're in the game, open the map, and look for a police station icon like the one provided in the screenshot. If not, head to the troubleshooting section down below! If it is, you can continue on to the game. If it does, check the console to say that LSPD First Response is running.
To test if your LSPDFR works, start spamming F4 (I say spam, because it doesn't initialize right away) until a console pops up. Finally! You've gone through and installed all the required things for LSPDFR! Time to play!