Mafia II

As the other solutions mention, this takes place early on in Chapter 11. I found the directions in the other solutions to be rather lacking. So here's what I did.

As the cut scene with Leo ends, you'll be in a small room. Run--There's no need to sneak--straight ahead through the door and into a room with a pool table.

Take a left, moving past the room with the large fireplace and couch, and into the room with the smaller fireplace and the piano. Facing the smaller fireplace in this room, you'll see two doors to the left. Move through the door closest to the fireplace.

On the left wall, you'll see a barrel with some white sheets hanging out of it. Move over to it and press X. You're done! Enjoy your achievement.

I did not have any hand in the making of the video. All credit goes to Jack & Geoff of Rooster Teeth/Achievement Hunter.

This Achievement is in Chapter 11.

When you arrive at Leo's house there will be a cutscene. After the cutscene go forward, opening a door.
After opening the door, walk a few feet and turn Left. Pass through the room with the large fireplace, couch and chairs in it. When you get to the next room, take a left and open the door to the Laundry Room.
Upon entering the room there is a Laundry Hamper to your Left, this is where the sheets are. Press as soon as you see 'Take the Sheets' appear next to the button.
After a cutscene that shows the two of you climbing down the makeshift rope and then driving away, you will gain control of the vehicle and the Achievement will pop!

NOTE: This is in Chapter 11 - A Friend of Ours

After the cutscene, head straight through a couple of rooms and open the window. Leo will suggest that you get a couple of sheets in the laundry room. With your back to the window, head right to the corner room, then left through that door. The laundry room is a couple of rooms up. Once you have the sheets, head back and help Leo down.

Seeing as how there are two Playboy magazines to collect in Leo's house, and none of the other guides include collecting them, I thought I'd share a way to get the magazines and escape for those that want to get them and this achievement at the same time without potentially replaying anything.

During Chapter 11, and when you have control of Vito inside of Leo's house, immediately turn southwest and head through the open doorway. Once through the doorway, stick close to the windows on your left and quickly grab the magazine in front of the third window. Now head through the door closest to where the magazine was, and once inside the bedroom turn right and through another door. In this small room, turn left and through another door leading to a bathroom. On the floor directly ahead of you is a basket, the other magazine is on top of the basket so grab it then turn back to the small room. As you enter the small room again you should see a barrel shaped basket, which is straight ahead of you when you leave the bathroom, so walk up to it and press to "Take the sheets".

If all goes well, and if my directions were good enough, you should escape with both magazines and without being caught.