If you're referring to the first Saints Row then you unlock them as you progress in the story. Saints Row 2: You can purchase them and unlock them in story missions. Saints Row: The Third: You unlock them in story missions.
To mug people in Saints Row 2, you have to keep the reticule over a civilian, and they'll drop money and run. Congratulations, once you have done this, YOU COMPLETED YOUR FIRST MUGGING (at least in Saints Row 2).