How do you go to prison in gta 4?

Not sure which club you mean, but these clubs are accessible to Niko on GTA IV:

• The Triangle Club for lap dancing and pole dancing, is situated in Bohan.
• Honkers, also for lap dancing and pole dancing, is situated in Alderney.
• The Split Sides comedy club, is situated in Algonquin.

All of them are eventually marked with an icon on the map.