First things first, the Agency Tower is the tallest building in the game, the base of operations for you, and in the middle of the city on its own island.
The first third is quite easy to get up as there are ledges to grab onto and pull yourself up with. Once you can no longer do this, you should have made it to the second large flat area linking the three towers of the building together. Look around for some scaffolding to climb up onto and from there you should be able to make your way up the scaffolding to a balcony-type area on the shortest of the three towers. Take the stairs up to the walkway around the tower and run up it to the second tower.
Note: You must have at least 3 stars in agility to do this. It's far easier, though not necessary, with 4 stars. If you're still having trouble, try doing the 'Watch Your Step' Rooftop Race, located on the Agency Island. The checkpoints detail pretty well the steps you need to take to climb the Tower.
Note: After you climb the tower, stand at the top so that the center of the island is behind you. Jump on the small fence and then jump off the tower, all the way past the small lake slightly to your right to land in the water for your "Base Jumper" achievement. You can land in the lake, but there's a good chance of you missing.