Sometimes the goals on the screen can be misleading because you cannot actually
literally accomplish them in the section of the game you are currently in. You might get a goal to 'kill Sergio' or whatnot, but to
actually, literally kill him, you must wait til you are in the exact section of the game wherein it is scripted for you to be able to do so. This applies to various goals of the game.
Sometimes I confused myself the first time I played the game by being unable to literally accomplish the on-screen goals. Ie: I overtook an an enemy in a car-chase. My on-screen goal was to kill him, yet despite disabling his car (I think I blocked him in-between my car and some other cars so as he had no space to move), he was completely invulnerable!!! So I had no clue what was going on. Then I looked it up in some walkthroughs and realized that
I wasn't supposed to be able to over-take and disable his car in that section of the game, rather, I
had to follow him close enough so he doesn't get away, yet not so close that I am faster than him and block him, because doing so prevents the next scripted section of the game from loading.
In any case, what I did in situations like this was went to
http://www.gamefaqs.com and read their walkthroughs on Mafia for the sections I got stuck in.
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