The DMV is the place where you can buy your licenses such as Driving License, Fishing License, Boat License, etc. The only License you can't get here is the Weapon License.
We suggest you to get here right before you start doing anything else, that way you can buy your Driving License which is the most important license.
Where can I find the DMV in San Fierro?Edit
The DMV is south from Gas Station and near the Firefighter HQ.