You spawn inside of the prison, except that now you are wearing blue instead of orange. I suggest first grabbing some basic stuff from the PD armory, and then going to the gun store (marked by an orange gun icon). By the way, it isn't really a gun store, since all of the stuff inside of there is free..
However, you earn much less money as a cop than you do as a criminal, and it is way easier to get kills as a hero, so I have to say: the police is the least played faction in the game.
One of the most effective (and the most scummy) tactics is to just camp in front of a place whenever someone is robbing it. They come out, and boom: you arrest them (or shoot them, depends on how you play)
Or when someone is robbing you just burst straight in, guns blazing. That works as well, but that is a way riskier approach. But I mean, it is less scummy! And more fun!