Do this with the "General Assembly" mission. It is inside the UN.
#2 - Location: Stuyvesant
#3 - Location: Gramercy
Inside the "Police Academy" mission.
#4 - Location: Times Square
#5 - Location: Clinton
#6 - Location: Chelsea
After the Mission "General Assembly" in Turtle Bay, you'll get an "Unknown Signal" Mission in Chelsea. The previously closed gate to access the ECHO will be open and you can open the door to get inside the building.