You just have to finish all the missions before you go to the final pink flashing arrow.
Here's a 100% complete save (actually 99%): http://gtamp.com/GTA2/gta2-complete-saved-game.zip
(all tokens, all kill frenzies and 21/22 missions done).
If you wait, the final mission will start automatically and the gang bosses will try to kill you. Even if you fail, you will still get "GAME COMPLETE!" when you go to the end. This post has been edited by Sektor on Wednesday, Jun 13 2012, 15:07