Where's the last Saints Row 2 mission?

You have to go to the police station that is, I believe, in the Saints Row district (the one you went in for an earlier mission). Search around and you'll find a room with 4 Saints symbols, these are audio recordings between various characters that you have to listen to. After you listen to all of them in order, then Dex will call you and you can complete the rest of the mission. Good luck!