Playing with fire is a mission you receive from Jeet after getting past the Jaw and unlocking Pink Eye's stronghold.
Your first objective is to bring a marked tanker truck (which is part of a convoy) safely to Jeet's Stronghold without destroying. Then Jeet will instruct Pete to load it up with gunpowder and other explosives. After speaking to Pete, the next part of the mission will start, where you have to bring the Explosive-laden convoy to a part of the wall which separates the 2 territories (near the Jaw). Once you reach the marked location, Max proceeds to blow the truck up, hence creating a wide pathway through the walls.
Completing this mission allows you to build the Armory project in Pink Eye's and Deep Friah's strongholds.